Econometrica: Jan 1966, Volume 34, Issue 1
Autocorrelation Between First Differences of Mid-Ranges
H. E. DanielsIt is known that if in a time series constructed from independent increments the individual items are replaced by, say, monthly averages, spurious correlation is introduced between successive first differences of the averages. The corresponding correlation for other statistics such as the mid-range is studied here. It is shown that the effect is even more pronounced when mid-ranges are used in place of averages.
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