Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures
AbstractWe 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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Bibliographic InfoPaper 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:
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TIME SERIES ; MODELS;
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- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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