Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration

Artikel

The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest that this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference imprecise. We assess analytically the effect of linear interpolation on a nonstationary process. We find that interpolation indeed reduces shock-persistence, but the interpolated series can still exhibit greater shock-persistence than a pure random walk. Moreover, linear interpolation makes the series periodically nonstationary, with parameters of the data generating process and the length of the interpolation time-segments affecting shock-persistence in conflicting ways.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Economics Letters ; ISSN: 0165-1765 ; Volume: 213 ; Year: 2022 ; Amsterdam: Elsevier

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Econometrics ; Mathematical Methods ; Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: General, International, or Comparative
• Thema: Linear Interpolation ; Random Walk ; Shock Persistence ; Nonstationary Time Series ; Periodic Nonstationarity ; Stationary Time Series ; Prewar US Time Series ; Prewar vs Postwar Business Cycles

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dezhbakhsh, Hashem ; Levy, Daniel
• Ereignis: Veröffentlichung
• (wer): Elsevier ; ZBW - Leibniz Information Centre for Economics
• (wo): Amsterdam
• (wann): 2022

Weitere Informationen

• DOI: doi:10.1016/j.econlet.2022.110386
• Handle: http://hdl.handle.net/10419/251467
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ