Artikel
Periodic Properties of Interpolated Time Series
Although linearly interpolated series are often used in economics, little has been done to examine the effects of interpolation on time-series properties and on statistical inference. We show that linear interpolation of a trend stationary series superimposes a ‘periodic’ structure on the moments of the series. Using conventional time-series methods to make inference about the interpolated series may therefore be invalid. Also, the interpolated series may exhibit more shock persistence than the original trend stationary series.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Economics Letters ; ISSN: 0165-1765 ; Volume: 44 ; Year: 1994 ; Issue: 3 ; Pages: 221-228 ; Amsterdam: Elsevier
- Klassifikation
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Wirtschaft
Econometric and Statistical Methods and Methodology: General
- Thema
-
Linear Interpolation
Trend-Stationary Series
Shock Persistence
Periodic Properties of Time Series
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dezhbakhsh, Hashem
Levy, Daniel
- Ereignis
-
Veröffentlichung
- (wer)
-
Elsevier
ZBW – Leibniz Information Centre for Economics
- (wo)
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Amsterdam
- (wann)
-
1994
- DOI
-
doi:10.1016/0165-1765(93)00378-2
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Dezhbakhsh, Hashem
- Levy, Daniel
- Elsevier
- ZBW – Leibniz Information Centre for Economics
Entstanden
- 1994
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