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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 ()

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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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Publisher 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
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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. 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. [Downloadable!] (restricted)
  2. Robert B. Litterman, 1983. "A random walk, Markov model for the distribution of time series," Staff Report 84, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  3. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-35, November. [Downloadable!] (restricted)
  4. Nijman, Theo E & Palm, Franz C, 1990. "Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-15, October.
  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. [Downloadable!] (restricted)
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