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http://hdl.handle.net/10419/50845
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| Title: | | Testing temporal disaggregation  |
| 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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