Sur la convergence des mesures de persistance relativement à la fréquence d'échantillonnage
We study the convergence of Cochrane [1988] and Campbell-Mankiw's [1987] measures of persistence when sampling becomes more and more frequent. First, we attempt to define these measures for continuous time process integrated with order one. Second, we analyze the convergence properties of discrete measures when the sampling becomes more and more frequent. Contrary to the Cochrane's V, the case of the Campbell-Mankiw's A(1) is problematical: it does not exist an analogue in continuous time to this measure, the convergence from discrete to continuous time is characterized by its divergence. We conclude by pointing out the dependence of this measure on the sampling frequency.
Year of publication: |
1994
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Authors: | GLACHANT, Jérôme |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1994, 35, p. 107-142
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
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