Sur la convergence des mesures de persistance relativement à la fréquence d'échantillonnage

Jérôme Glachant

Annals of Economics and Statistics, 1994, issue 35, 107-142

Abstract: We study the convergence of Cochrane [1988] and Campbell-Mankiw's [1987] measures of persistence when sampling becomes more and more frequent. First, we attempt to define these measures for continuous time process integrated with order one. Second, we analyze the convergence properties of discrete measures when the sampling becomes more and more frequent. Contrary to the Cochrane's V, the case of the Campbell-Mankiw's A(1) is problematical: it does not exist an analogue in continuous time to this measure, the convergence from discrete to continuous time is characterized by its divergence. We conclude by pointing out the dependence of this measure on the sampling frequency.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1994:i:35:p:107-142

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