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An Analogue Model of Phase-Averaging Procedures.

Abstract:
This paper analyzes the statistical and econometric effects 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 consider the effect of phase-averaging on the exogeneity of variables in those evaluations and the implications phase-averaging has for conducting statistical inference.

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Journal:
Journal of Econometrics
Volume:
43
Issue:
3
Publication date:
1990-01-01
URN:
uuid:931dad33-fa64-4487-903f-38612a598e5e
Local pid:
oai:economics.ouls.ox.ac.uk:10904
Language:
English

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