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Title:Testing temporal disaggregation PDF Logo
Authors:Müller, Christian
Issue Date:2006
Series/Report no.:Arbeitspapiere // Konjunkturforschungsstelle, Eidgenössische Technische Hochschule Zürich 134
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.
Subjects:temporal disaggregation
restricted ARMA
JEL:F31
F47
C53
Persistent Identifier of the first edition:doi:10.3929/ethz-a-005187504
Document Type:Working Paper
Appears in Collections:KOF Working Papers, KOF Konjunkturforschungsstelle, ETH Zürich

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