The negative first-lag autocorrelation of U.S. monthly consumption changes rejects the continuous-time random walk model of consumption. This paper addresses the question of whether data distortions due to measurement errors or the application of the X-11 filter may explain this negative...

This paper establishes - via canonical factorization of the spectral density of a wide-sense stationary series - a general relationship between the parameters of the Wold representation of a discrete-time series and the parameters of its sampled version. As an application, the paper shows that...

Interest in the effect of sampling and temporal aggregation on empirical results in macroeconomics and finance is growing. While the effects on the order of ARIMA representations are well known in the literature, the effects on model parameters are not, with a few exceptions. This paper presents...