Periodic Properties of Interpolated Time Series

Posted: 25 Feb 2005

See all articles by Hashem Dezhbakhsh

Hashem Dezhbakhsh

Emory University - Department of Economics

Daniel Levy

Bar-Ilan University - Department of Economics; Emory University - Department of Economics; Rimini Center for Economic Analysis

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.

Keywords: Linear interpolation, trend stationary series, periodicity, shock persistence

JEL Classification: C22, C82

Suggested Citation

Dezhbakhsh, Hashem and Levy, Daniel, Periodic Properties of Interpolated Time Series. Economics Letters, Vol. 44, No. 3, pp. 221-228, May 1994, Available at SSRN: https://ssrn.com/abstract=671821

Hashem Dezhbakhsh

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States
404-727-4679 (Phone)
404-727-4639 (Fax)

Daniel Levy (Contact Author)

Bar-Ilan University - Department of Economics ( email )

Ramat-Gan, 5290002
Israel
+972 3 531-8345 (Phone)
+972 3 738-4034 (Fax)

HOME PAGE: http://econ.biu.ac.il/en/levy

Emory University - Department of Economics ( email )

1602 Fishburne Drive, Suite 306
Rich Building
Atlanta, GA 30322-0001
United States

HOME PAGE: http://economics.emory.edu/home/people/faculty/Levydaniel.html

Rimini Center for Economic Analysis ( email )

Wilfrid Laurier University
75 University Ave W.
Waterloo, Ontario N2L3C5
Canada

HOME PAGE: http://rcea.org/

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