Related-variables selection in temporal disaggregation
Author
Abstract
Suggested Citation
DOI: 10.1002/for.1115
Download full text from publisher
References listed on IDEAS
- Nijman, T E & Palm, F C, 1986.
"The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 47-58, January.
- Nijman, T.E. & Palm, F.C., 1985. "The construction and use of approximations for missing quarterly observations : A model-based approach," Other publications TiSEM 22310454-d7c0-4639-b9a7-5, Tilburg University, School of Economics and Management.
- Fabio H. Nieto, 2007. "Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(1), pages 53-76.
- Santos Silva, J. M. C. & Cardoso, F. N., 2001. "The Chow-Lin method using dynamic models," Economic Modelling, Elsevier, vol. 18(2), pages 269-280, April.
- Luis C. Nunes, 2005. "Nowcasting quarterly GDP growth in a monthly coincident indicator model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 575-592.
- Zellner, Arnold & Tobias, Justin, 1998.
"A Note on Aggregation, Disaggregation and Forecasting Performance,"
CUDARE Working Papers
198677, University of California, Berkeley, Department of Agricultural and Resource Economics.
- Zellner, Arnold & Tobias, Justin, 2004. "A Note on Aggregation, Disaggregation and Forecasting Performance," Staff General Research Papers Archive 12371, Iowa State University, Department of Economics.
- Tobias, Justin & Zellner, Arnold, 2000. "A Note on Aggregation, Disaggregation and Forecasting Performance," Staff General Research Papers Archive 12024, Iowa State University, Department of Economics.
- Engle, Robert F & Kozicki, Sharon, 1993.
"Testing for Common Features,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
- Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
- Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
- Gulasekaran Rajaguru & Tilak Abeysinghe, 2004. "Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 431-447.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Litterman, Robert B, 1983.
"A Random Walk, Markov Model for the Distribution of Time Series,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
- Robert B. Litterman, 1983. "A random walk, Markov model for the distribution of time series," Staff Report 84, Federal Reserve Bank of Minneapolis.
- J. H. C. Lisman & J. Sandee, 1964. "Derivation of Quarterly Figures from Annual Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 13(2), pages 87-90, June.
- Chow, Gregory C & Lin, An-loh, 1971.
"Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series,"
The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
- Tom Doan, "undated". "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
- Tom Doan, "undated". "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
- Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
- James Mitchell & Richard J. Smith & Martin R. Weale & Stephen Wright & Eduardo L. Salazar, 2005. "An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth," Economic Journal, Royal Economic Society, vol. 115(501), pages 108-129, February.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- J. C. G. Boot & W. Feibes & J. H. C. Lisman, 1967. "Further Methods of Derivation of Quarterly Figures from Annual Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 16(1), pages 65-75, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Groiss, Martin, 2024. "Equalizing Monetary Policy - the Earnings Heterogeneity Channel in Action," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302346, Verein für Socialpolitik / German Economic Association.
- Chai, Jian & Zhang, Zhong-Yu & Wang, Shou-Yang & Lai, Kin Keung & Liu, John, 2014. "Aviation fuel demand development in China," Energy Economics, Elsevier, vol. 46(C), pages 224-235.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Luke Mosley & Idris Eckley & Alex Gibberd, 2021. "Sparse Temporal Disaggregation," Papers 2108.05783, arXiv.org, revised Oct 2022.
- José Casals & Miguel Jerez & Sonia Sotoca, 2009.
"Modelling and forecasting time series sampled at different frequencies,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(4), pages 316-342.
- José Casals Carro & Miguel Jerez Méndez & Sonia Sotoca López, 2006. "Modelling an forecasting time series sampled at different frequencies," Documentos de Trabajo del ICAE 0603, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Luke Mosley & Idris A. Eckley & Alex Gibberd, 2022. "Sparse temporal disaggregation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 2203-2233, October.
- Willie Lahari, 2011. "Assessing Business Cycle Synchronisation - Prospects for a Pacific Islands Currency Union," Working Papers 1110, University of Otago, Department of Economics, revised Oct 2011.
- Angelini, Elena & Henry, Jerome & Marcellino, Massimiliano, 2006.
"Interpolation and backdating with a large information set,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2693-2724, December.
- Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2003. "Interpolation and backdating with a large information set," Working Paper Series 252, European Central Bank.
- Henry, Jerome & Marcellino, Massimiliano & Angelini, Elena, 2004. "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers 4533, C.E.P.R. Discussion Papers.
- Vladim r Hajko, 2015. "Energy-Gross Domestic Product Nexus: Disaggregated Analysis for the Czech Republic in the Post-Transformation Era," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 869-888.
- Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
- Osmani Teixeira de Carvalho de Guillén & Carlos Hamilton Vasconcelos Araújo, 2005. "O Mecanismo De Transmissão Da Taxa De Câmbio Para Índices De Preços: Uma Análise Vecm Para O Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 034, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Massimo Gerli & Giovanni Marini, 2006. "Spatial and Temporal Time Series Conversion: A Consistent Estimator of the Error Variance-Covariance Matrix," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 373-405.
- Chen, Li & Gao, Jiti & Vahid, Farshid, 2022.
"Global temperatures and greenhouse gases: A common features approach,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 240-254.
- Li Chen & Jiti Gao & Farshid Vahid, 2019. "Global Temperatures and Greenhouse Gases: A Common Features Approach," Monash Econometrics and Business Statistics Working Papers 23/19, Monash University, Department of Econometrics and Business Statistics.
- Li Chen & Jiti Gao & Farshid Vahid, 2019. "Global temperatures and greenhouse gases - a common features approach," Working Papers 2019-07-15, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Peter Fuleky & Carl S. Bonham, 2013.
"Forecasting with Mixed Frequency Samples: The Case of Common Trends,"
Working Papers
201316, University of Hawaii at Manoa, Department of Economics.
- Peter Fuleky & Carl, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers 2013-5, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Peter Fuleky & Carl S. Bonham, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers 201305, University of Hawaii at Manoa, Department of Economics.
- Elizabeth Wakerly & Byron Scott & James Nason, 2006.
"Common trends and common cycles in Canada: who knew so much has been going on?,"
Canadian Journal of Economics, Canadian Economics Association, vol. 39(1), pages 320-347, February.
- Elizabeth C. Wakerly & Byron G. Scott & James M. Nason, 2006. "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(1), pages 320-347, February.
- James M. Nason & Byron G. Scott & Elizabeth C. Wakerly, 2004. "Common trends and common cycles in Canada: who knew so much has been going on?," FRB Atlanta Working Paper 2004-5, Federal Reserve Bank of Atlanta.
- Knif, Johan & Pynnonen, Seppo & Luoma, Martti, 1996. "Testing for common autocorrelation features of two scandinavian stock markets," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 55-64.
- Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
- Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009.
"Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
- Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Working Papers Series 139, Central Bank of Brazil, Research Department.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features," MPRA Paper 22550, University Library of Munich, Germany.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Bernardí Cabred & Jose Pavía, 1999. "EstimatingJ (>1) quarterly time series in fulfilling annual and quarterly constraints," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(3), pages 339-349, August.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014.
"Forecasting with factor-augmented error correction models,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
- Banerjee, Anindya & Marcellino, Massimiliano, 2008. "Factor-augmented Error Correction Models," CEPR Discussion Papers 6707, C.E.P.R. Discussion Papers.
- Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Economics Working Papers ECO2008/15, European University Institute.
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2009. "Forecasting with Factor-Augmented Error Correction Models," Discussion Papers 09-06r, Department of Economics, University of Birmingham.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2010. "Forecasting with Factor-augmented Error Correction Models," CEPR Discussion Papers 7677, C.E.P.R. Discussion Papers.
- Igor Masten & Massimiliano Marcellino & Anindya Banerjeey, 2009. "Forecasting with Factor-augmented Error Correction Models," RSCAS Working Papers 2009/32, European University Institute.
- Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011.
"Causal relationship between stock prices and exchange rates,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(1), pages 67-86.
- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010. "Causal Relationship between Stock Prices and Exchange Rates," Discussion Paper Series 2010_01, Department of Economics, University of Macedonia, revised Jan 2010.
- Alagidede, Paul & Panagiotidis, Theodore & Zhang, Xu, 2010. "Causal Relationship between Stock Prices and Exchange Rates," Stirling Economics Discussion Papers 2010-05, University of Stirling, Division of Economics.
- Christian Caamaño-Carrillo & Sergio Contreras-Espinoza & Orietta Nicolis, 2023. "Reconstructing the Quarterly Series of the Chilean Gross Domestic Product Using a State Space Approach," Mathematics, MDPI, vol. 11(8), pages 1-14, April.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:28:y:2009:i:4:p:343-357. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.