Periodic properties of interpolated time series

@inproceedings{Hashem2001PeriodicPO,
  title={Periodic properties of interpolated time series},
  author={Hashem and Dezhbakhsh and Daniel and Levy},
  year={2001}
}
  • Hashem, Dezhbakhsh, +1 author Levy
  • Published 2001
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… CONTINUE READING

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