Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247583 
Year of Publication: 
2020
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 8 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-22
Publisher: 
MDPI, Basel
Abstract: 
The econometric data to which autoregressive moving-average models are commonly applied are liable to contain elements from a limited range of frequencies. If the data do not cover the full Nyquist frequency range of [0,π] radians, then severe biases can occur in estimating their parameters. The recourse should be to reconstitute the underlying continuous data trajectory and to resample it at an appropriate lesser rate. The trajectory can be derived by associating sinc fuction kernels to the data points. This suggests a model for the underlying processes. The paper describes frequency-limited linear stochastic differential equations that conform to such a model, and it compares them with equations of a model that is assumed to be driven by a white-noise process of unbounded frequencies. The means of estimating models of both varieties are described.
Subjects: 
autoregressive moving-average models
frequency-limited processes
linear sochastic differential equations
Nyquist-Shannon sampling therorem
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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