Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration

Hashem Dezhbakhsh and Daniel Levy ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Linear Interpolation; Random Walk; Shock-Persistence; Nonstationary series; Periodic nonstationarity; Stationary series; Prewar US Time Series (search for similar items in EconPapers)
JEL-codes: C01 C02 E01 E30 N10 (search for similar items in EconPapers)
Date: 2022-03-17
New Economics Papers: this item is included in nep-his and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/112493/1/MPRA_paper_112493.pdf original version (application/pdf)

Related works:
Journal Article: Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration (2022)
Journal Article: Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration (2022)
Working Paper: Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration (2022)
Working Paper: Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:112493

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().