Economists and econometricians very often work with data which has been temporally disaggregated prior to use. Hence, the quality of the disaggregation clearly aspects the qual- ity of the analyses. Building on Chow and Lin's (1971) disaggregation model this paper proposes a new estimation approach and a specification test which assesses the quality of the disaggregation model. An advantage of the proposal is that estimation and testing can both be pursued using the aggregated data while the standard method requires a mixture of high and low frequency data. A small simulation study shows that the test indeed provides useful information.
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Paper provided by KOF Swiss Economic Institute, ETH Zurich in its series KOF Working papers with number
06-134.
Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
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