An analogue model of phase-averaging procedures

DOI10.1016/0304-4076(90)90121-9MaRDI QIDQ583817zbMATH OpenOpenAlexFDO

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

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

autocorrelationdifference equationsdynamic processesexogeneityfixed n-period phase-averagingincomeinterest ratesmoneypricestime seriesvariance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• An analogue model of phase-averaging procedures
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• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
• scientific article; zbMATH DE number 3092208 (Why is no real title available?)
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• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
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• Testing for Unit Roots: 2
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• The Effect of Aggregation on Prediction in the Autoregressive Model
• The effect of temporal aggregation on parameter estimation in distributed lag model

Cited in

(6)

• 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
• Testing Models of Low-Frequency Variability
• A theoretical result on phase-lag
• An analogue model of phase-averaging procedures

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