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An analogue model of phase-averaging procedures.

Abstract:
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.

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Authors


Julia Campos More by this author
Neil R Ericsson More by this author
David F Hendry More by this author
Volume:
303
Series:
International Finance Discussion Papers
Publication date:
1987
URN:
uuid:543f2f0e-4649-4716-a36c-9c029c28e402
Local pid:
oai:economics.ouls.ox.ac.uk:11549
Language:
English

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