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Interpolating flow and stock variables in a continuous-time dynamic framework

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  • Imad A. Moosa
  • Kelly Burns

Abstract

A continuous-time dynamic interpolation method for deriving high-frequency data is illustrated by deriving monthly data from quarterly data on two US macroeconomic variables: industrial production as a flow variable and the money supply as a stock variable. Analysis of the actual and interpolated series shows that they do not differ significantly in terms of the basic statistics and that they are cointegrated with a cointegarting vector of (--1,0,1). Unlike other interpolation methods, this method distinguishes between stock and flow variables.

Suggested Citation

  • Imad A. Moosa & Kelly Burns, 2013. "Interpolating flow and stock variables in a continuous-time dynamic framework," Applied Economics Letters, Taylor & Francis Journals, vol. 20(7), pages 621-625, May.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:7:p:621-625
    DOI: 10.1080/13504851.2012.727969
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    References listed on IDEAS

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