, indicate that commonly used linear interpolation has the opposite effect on shock persistence and volatility of a series …

, indicate that commonly used linear interpolation has the opposite effect on shock persistence and volatility of a series …

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 …

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 …

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 …

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 …