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DENTON: Stata module to interpolate a flow or stock series from low-frequency totals via proportional Denton method

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Sylvia Hristakeva

    (Boston College)

Programming Language

Stata

Abstract

denton computes the proportional Denton method of interpolation of a low-frequency flow time series by use of an associated high-frequency "indicator series", imposing the constraints that the interpolated series obeys the low-frequency totals. The method is recommended in IMF publications as "relatively simple, robust, and well-suited for large-scale applications." It may be particularly useful in cases where, due to sizable statistical discrepancy, quarterly series do not integrate to annual totals. The indicator series only contribute their pattern to the interpolation. The routine can interpolate annual data to quarterly or monthly, and quarterly data to monthly. The stock option allows the routine to handle stock (rather than flow) series. A certification script for the package is provided. This version of the package also contains denton7 and dentonmq7, which should be used if you do not have Stata 11 or 12. These routines use a completely different command format and require more setup effort. dentonmq7 is a routine to perform the same task for monthly interpolation of a quarterly series. The programs may be applied to a single time series within a panel.

Suggested Citation

  • Christopher F Baum & Sylvia Hristakeva, 2001. "DENTON: Stata module to interpolate a flow or stock series from low-frequency totals via proportional Denton method," Statistical Software Components S422501, Boston College Department of Economics, revised 26 Sep 2021.
    • Handle: RePEc:boc:bocode:s422501
    Note: This module may be installed from within Stata by typing "ssc install denton". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/d/denton.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/denton.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/denton7.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/denton7.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dentonmq7.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dentonmq7.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_denton.zip
    File Function: certification script and sample data files
    Download Restriction: no
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    Citations

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    Cited by:

    1. Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan, 2003. "The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms," Computing in Economics and Finance 2003 69, Society for Computational Economics.
    2. Baum, Christopher F. & Caglayan, Mustafa & Ozkan, Neslihan & Talavera, Oleksandr, 2006. "The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity," Review of Financial Economics, Elsevier, vol. 15(4), pages 289-304.
    3. Valerie A. Ramey, 2011. "Identifying Government Spending Shocks: It's all in the Timing," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 126(1), pages 1-50.
    4. Christopher Baum & Chi Wan, 2010. "Macroeconomic uncertainty and credit default swap spreads," Applied Financial Economics, Taylor & Francis Journals, vol. 20(15), pages 1163-1171.
    5. Hussain, Karrar, 2009. "Causal Ordering Between Inflation and Productivity of Labor and Capital: An Empirical Approach for Pakistan," MPRA Paper 16486, University Library of Munich, Germany.
    6. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2003. "The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms," Boston College Working Papers in Economics 566, Boston College Department of Economics.

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