We suggest a simple non model based procedure to recover a time series from its temporally aggregated realizations. If additional assumptions on the under lying process are intorduced, it is shown that the procedure is related to many of the former proposals in the literature. It can also be easily modified to deal with the estimation of missing observations and outliers, and with forecasting. Some important identification issues are finally discussed.
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Paper provided by European University Institute in its series Economics Working Papers with number
eco97/30.
Length: 29 pages Date of creation: 1997 Date of revision: Handle: RePEc:eui:euiwps:eco97/30
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Find related papers by JEL classification: C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
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