The negative first-lag autocorrelation of 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 seasonal adjustment procedures may explain this negative autocorrelation,...

By adopting a VAR framework in first differences, recent literature has confirmed previous results in testing the macro rational-expectations hypotheses of rationality and neutrality: rationality is corroborated, neutrality is rejected. However, this paper shows that, by correctly incorporating...

This paper finds that the differences between long-term temperature trends in fifty California counties are partially explained by population density for the post-war period 1947-1991, but not for the earlier period 1909-1946, nor for the whole sample. These results may indicate that the effect...

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...