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

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Author Info

  • 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.

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File URL: http://www.bibliotecas.ulpgc.es/fcee/hemeroteca/documentos%20de%20trabajo/DocumentosDTrabajo/doc15/dt2003-01.pdf
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Bibliographic Info

Paper provided by Facultad de Ciencias Económicas de la ULPGC in its series Documentos de trabajo conjunto ULL-ULPGC with number 2003-01.

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Length: 15 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:can:series:2003-01

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Related research

Keywords: Métodos de desagregación temporal; Chow y Lin; Simulación;

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  1. Robert B. Litterman, 1983. "A random walk, Markov model for the distribution of time series," Staff Report 84, Federal Reserve Bank of Minneapolis.
  2. Palm, F.C. & Nijman, T.E., 1988. "Efficiency gains due to using missing data procedures in regression models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153291, Tilburg University.
  3. Nijman, T.E. & Palm, F.C., 1987. "Predictive accuracy gain from disaggregate sampling in ARIMA-models," Research Memorandum 273, Tilburg University, Faculty of Economics and Business Administration.
  4. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
  5. 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.
  6. Nijman, T.E. & Palm, F.C., 1984. "Missing observations in the dynamic regression model," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153295, Tilburg University.
  7. 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.
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