CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series
AbstractChowLin distributes a series, changing the frequency to a higher one while maintaining the sum over each period, using the Chow-Lin(1971) or related procedure. The newer procedure disaggregate.src is a better choice. Chow and Lin(1971), "Best Linear Unbiased Interpolation, Distribution and Extrapolation of Time Series by Related Series", Review of Economics and Statistics, vol 53, 372-375. Fernandez(1981), "A Methodological Note on the Estimation of Time Series", Review of Economics and Statistics, vol 63, 471-478. Litterman(1983), "A Random Walk, Markov Model for the Distribution of Time Series", JBES, vol 1, 169-173.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00036.
Programming language: RATS
Requires: RATS 6.20
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Other versions of this item:
- Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
- 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 372-75, November.
- 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 169-73, April.
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