Periodic Properties of Interpolated Time Series

Hashem Dezhbakhsh and Daniel Levy ()

Econometrics from University Library of Munich, Germany

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 tationary 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 C22 C82 E37 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2005-05-15
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Note: Type of Document - pdf; pages: 12
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https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0505/0505004.pdf (application/pdf)

Related works:
Journal Article: Periodic properties of interpolated time series (1994)
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:wpa:wuwpem:0505004

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