An analogue model of phase-averaging procedures.
- This paper considers the statistical and econometric effect that fixed n-period phase-averaging has on time series generated by some simple dynamic processes. We focus on the variance and autocorrelation of the data series and of the disturbance term for levels and difference equations involving the phase-average data. Further, we examine the effect of phase-averaging on the erogeneity of variables in those equations and the implications phase-averaging has for conducting statistical inference.
- International Finance Discussion Papers
- Publication date:
- Local pid:
- Copyright date:
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record