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...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Board of Governors of the Federal Reserve System (U.S.)
1987
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