An analogue model of phase-averaging procedures

DOI10.1016/0304-4076(90)90121-9zbMath0692.62094OpenAlexW2098860917MaRDI QIDQ583817

David F. Hendry, Neil R. Ericsson, Julia Campos

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1987/303/ifdp303.pdf

zbMATH Keywords

time seriesdifference equationsvarianceinterest ratespricesautocorrelationmoneyincomeexogeneitydynamic processesfixed n-period phase-averaging

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence ⋮ Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector ⋮ Temporal aggregation of random walk processes and implications for economic analysis ⋮ An analogue model of phase-averaging procedures

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