Interest in the effect of sampling and temporal aggregation on empirical results in macroeconomics and finance is growing. While the effects on the order of ARIMA representations are well known in the literature, the effects on model parameters are not, with a few exceptions. This paper presents...

The negative first-lag autocorrelation of U.S. monthly consumption changes rejects the continuous-time random walk model of consumption. This paper addresses the question of whether data distortions due to measurement errors or the application of the X-11 filter may explain this negative...

This paper establishes - via canonical factorization of the spectral density of a wide-sense stationary series - a general relationship between the parameters of the Wold representation of a discrete-time series and the parameters of its sampled version. As an application, the paper shows that...

By adopting a VAR framework in first differences, recent literature has confirmed previous results in testing the macro rational-expectations hypotheses of rationality and neutrality: rationality is corroborated, neutrality is rejected. However, this paper shows that, by correctly incorporating...

This paper finds that the differences between long-term temperature trends in fifty California counties are partially explained by population density for the post-war period 1947-1991, but not for the earlier period 1909-1946, nor for the whole sample. These results may indicate that the effect...

The negative first-lag autocorrelation of monthly consumption changes rejects the continuous-time random walk model of consumption. This paper addresses the question of whether data distortions due to measurement errors or seasonal adjustment procedures may explain this negative autocorrelation,...

The paper compares the search for structural breaks in Sweden's GDP conducted with X-11 seasonally adjusted data, with seasonally unadjusted data, and with temporally aggregated data. A structural break (in 1980) is found only in the X-11 adjusted data, it is plausible to conclude that this...

The distinction between transitory and permanent shocks bears important implications for economic analysis in general, and for forecasting and policy issues in particular. This distinction is at the centre of the debate on which class of models is best suited to represent economic variables:...

Abstract This paper discusses some reasons why system control theory has had only a limited impact on economic analysis, especially on government policy¬making. First, in engineering targets are well formulated and known to the controller; in economics, government's targets are often unknown or...