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La trimestralización de variables flujo. Un estudio de simulación de los métodos de desagregación temporal con indicador

Author

Listed:
  • Alejandro Rodríguez Caro
  • Santiago Rodríguez Feijoo
  • Delia Dávila Quintana

Abstract

En el presente trabajo se estudian las propiedades de seis métodos de desagregación temporal con información auxiliar basados en el propuesto por Chow y Lin (1971), a través de una simulación de Montecarlo. El objetivo del trabjo es determinar el método correcto a utilizar en función de las condiciones de la información auxiliar.

Suggested Citation

  • Alejandro Rodríguez Caro & Santiago Rodríguez Feijoo & Delia Dávila Quintana, 2003. "La trimestralización de variables flujo. Un estudio de simulación de los métodos de desagregación temporal con indicador," Documentos de trabajo conjunto ULL-ULPGC 2003-01, Facultad de Ciencias Económicas de la ULPGC.
    • Handle: RePEc:can:series:2003-01
    as

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    References listed on IDEAS

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    1. Palm, F.C. & Nijman, T.E., 1988. "Efficiency gains due to using missing data procedures in regression models," Other publications TiSEM 2853eab0-e00a-4df9-898e-d, Tilburg University, School of Economics and Management.
    2. Nijman, Theo E & Palm, Franz C, 1990. "Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-415, October.
    3. Nijman, T.E. & Palm, F.C., 1986. "Efficiency gains due to using missing data procedures in regression models," Research Memorandum FEW 240, Tilburg University, School of Economics and Management.
    4. Daniel O. Stram & William W. S. Wei, 1986. "A Methodological Note On The Disaggregation Of Time Series Totals," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 293-302, July.
    5. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
    6. Nijman, T.E. & Palm, F.C., 1984. "Missing observations in the dynamic regression model," Other publications TiSEM 4d689d7c-4d89-4ab6-b8c3-f, Tilburg University, School of Economics and Management.
    7. 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.
    8. 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.
    9. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-1435, November.
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    More about this item

    Keywords

    Métodos de desagregación temporal; Chow y Lin; Simulación;
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