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Constrained retropolation of high-frequency data using related series: A simple dynamic model approach

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  • Tommaso Fonzo

    (Università di Padova)

Abstract

The static approach by Chow and Lin (1971) to temporal disaggregation of an economic series by related indicators is extended to back-calculate high-frequency data constrained to their low-frequency counterpart according to a simple dynamic model.

Suggested Citation

  • Tommaso Fonzo, 2003. "Constrained retropolation of high-frequency data using related series: A simple dynamic model approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(1), pages 109-119, February.
    • Handle: RePEc:spr:stmapp:v:12:y:2003:i:1:d:10.1007_bf02511587
    DOI: 10.1007/BF02511587
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    References listed on IDEAS

    as
    1. 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.
    2. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, April.
    3. 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.
    4. Dr Martin Weale, 1997. "Interpolation using a dynamic regression model: specification and Monte Carlo properties," National Institute of Economic and Social Research (NIESR) Discussion Papers 126, National Institute of Economic and Social Research.
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    Cited by:

    1. Víctor M. Guerrero & Francisco Corona, 2018. "Retropolating some relevant series of Mexico's System of National Accounts at constant prices: The case of Mexico City's GDP," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 495-519, November.

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