Periodic properties of interpolated time series

Hashem Dezhbakhsh, Daniel Levy

Research output: Contribution to journalArticlepeer-review

17 Scopus citations

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.

Original languageEnglish
Pages (from-to)221-228
Number of pages8
JournalEconomics Letters
Volume44
Issue number3
DOIs
StatePublished - 1994
Externally publishedYes

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