Periodic Properties of Interpolated Time Series

Hashem Dezhbakhsh and Daniel Levy ()

EconStor Open Access Articles and Book Chapters, 1994, vol. 44, issue 3, 228 pages

Abstract: 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.

Keywords: Linear Interpolation; Trend-Stationary Series; Shock Persistence; Periodic Properties of Time Series (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (23)

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Related works:
Working Paper: Periodic Properties of Interpolated Time Series (2005)
Journal Article: Periodic properties of interpolated time series (1994)
Working Paper: Periodic properties of interpolated time series (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:espost:206713

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