Open access
Author
Date
2006-04Type
- Working Paper
ETH Bibliography
yes
Altmetrics
Abstract
Economists and econometricians very often work with data which has been temporally disaggregated prior to use. Hence, the quality of the disaggregation clearly affects the quality of the analyses. Building on Chow and Lin’s (1971) disaggregation model this paper proposes a new estimation approach and a specification test which assesses the quality of the disaggregation model. An advantage of the proposal is that estimation and testing can both be pursued using the aggregated data while the standard method requires a mixture of high and low frequency data. A small simulation study shows that the test indeed provides useful information. Show more
Permanent link
https://doi.org/10.3929/ethz-a-005187504Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
MODELLRECHNUNG UND SIMULATION IN BETRIEBSWIRTSCHAFT; Temporal disaggregation; Restricted ARMA; MATHEMATICAL MODELING AND SIMULATION IN BUSINESS ECONOMICSOrganisational unit
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
More
Show all metadata
ETH Bibliography
yes
Altmetrics