Search Results - subject:"linear interpolation"

Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration

Dezhbakhsh, Hashem; Levy, Daniel C. - 2022

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 … greater shock-persistence than a pure random walk. Moreover, linear interpolation makes the series periodically nonstationary …

Persistent link: https://www.econbiz.de/10014304175

Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration

Dezhbakhsh, Hashem; Levy, Daniel - In: Economics Letters 213 (2022)

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 … greater shock-persistence than a pure random walk. Moreover, linear interpolation makes the series periodically nonstationary …

Persistent link: https://www.econbiz.de/10013164445

Interpolation and shock persistence of prewar U.S. macroeconomic time series : a reconsideration

Dezhbakhsh, Hashem; Levy, Daniel C. - 2022 - Last revision: February 9, 2022

Persistent link: https://www.econbiz.de/10013175448

Interpolation and shock persistence of prewar U.S. macroeconomic time series : a reconsideration

Dezhbakhsh, Hashem; Levy, Daniel C. - 2022 - Last revision: February 9, 2022

Persistent link: https://www.econbiz.de/10013164224

On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests

Miller, J. Isaac; Ghysels, Eric - Economics Department, University of Missouri - 2014

We analyze the sizes of standard cointegration tests applied to data subject to linear interpolation, discovering … results generally do not support linear interpolation when alternatives such as aggregation or mixed-frequency-modified tests …

Persistent link: https://www.econbiz.de/10011076211

Forecasting with missing data: Application to a real case

Delicado, Pedro; Justel, Ana - Department of Economics and Business, Universitat … - 1997

This paper presents a comparative analysis of linear and mixed models for short term forecasting of a real data series with a high percentage of missing data. Data are the series of significant wave heights registered at regular periods of three hours by a buoy placed in the Bay of Biscay. The...

Persistent link: https://www.econbiz.de/10005772507

Estimates of the Aggregate Quarterly Capital Stock for the Post-War U.S. Economy

Levy, Daniel; Chen, Haiwei - In: Review of Income and Wealth 40 (1994) 3, pp. 317-349

We construct quarterly aggregate gross and net capital stock series for the post‐war U.S. economy using annual capital stock, capital depreciation, and capital discard figures along with quarterly investment series. We construct nominal and real measures of all three categories in the...

Persistent link: https://www.econbiz.de/10012140509

Periodic Properties of Interpolated Time Series

Dezhbakhsh, Hashem; Levy, Daniel - In: Economics Letters 44 (1994) 3, pp. 221-228

interpolation on time-series properties and on statistical inference. We show that linear interpolation of a trend stationary series …

Persistent link: https://www.econbiz.de/10012140511