The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling

David Pollock ()

No 11/14, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of ? radians per sample period. It is well known that, if data are sampled from a continuous process of which the maximum frequency exceeds the Nyquist value, then there will be a problem of aliasing. However, if the sampling is too rapid, then other problems will arise that will cause the ARMA estimates to be severely biased. The paper reveals the nature of these problems and it shows how they may be overcome. It is argued that the estimation of macroeconomic processes may be compromised by a failure to take account of their limits in frequency.

Keywords: Stochastic Differential Equations; Band-Limited Stochastic Processes; Oversampling (search for similar items in EconPapers)
Date: 2011-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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