Publication type: Working paper – expertise – study
Title: Testing temporal disaggregation
Authors: Müller, Christian
DOI: 10.3929/ethz-a-005187504
Extent: 23
Issue Date: 2006
Series: KOF Working Papers
Series volume: 134
Publisher / Ed. Institution: ETH Zürich
Publisher / Ed. Institution: Zürich
Language: English
Subjects: Restricted ARMA; Temporal Disaggregation
Subject (DDC): 330: Economics
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.
License (according to publishing contract): Licence according to publishing contract
Departement: School of Management and Law
Organisational Unit: Center for Economic Policy (FWP)
Appears in collections:Publikationen School of Management and Law

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