Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/50845 
Year of Publication: 
2006
Series/Report no.: 
KOF Working Papers No. 134
Publisher: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
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: 
Document Type: 
Working Paper

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