Estimating persistence for irregularly spaced historical data

Philip Hans Franses

No EI2020-03, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This paper introduces to the literature on Economic History a measure of persistence which is particularly useful if the data are irregularly spaced. An illustration to 10 historical unevenly spaced data series for Holland of 1738 to 1779 showed the merits of the methodology

Keywords: Irregularly spaced time series; Economic history; First order autoregression; Persistence (search for similar items in EconPapers)
JEL-codes: C32 N01 (search for similar items in EconPapers)
Pages: 17
Date: 2019-09-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-his
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Related works:
Journal Article: Estimating persistence for irregularly spaced historical data (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:124352

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