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Temporal disaggregation of stock variables - The Chow-Lin method extended to dynamic models

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  • A. POISSONNIER

    (Insee)

Abstract

Since the seminal paper by Chow and Lin the literature on temporal disaggregation has focused on temporal disaggregation of flow variables. Moreover, this literature on optimal methods has traditionally emphasized static models and forced all dynamic dimension of the link between time series to be embedded in the unexplained component. Nevertheless, these techniques have proved particularly useful to compute quarterly national accounts in numbers of countries in Europe (France, Italy, Spain, Portugal, Switzerland). Following this literature, this paper builds an optimal method to derive higher frequency estimates of stocks variables using their annual value and related flow indicators at high frequency. An example of this method is given for quarterly non-financial corporations' capital in computers and communication equipment. Although presented in the case of stock variables, all the results from this paper hold in the case of flow variables disaggregated either with static or dynamic models.

Suggested Citation

  • A. Poissonnier, 2013. "Temporal disaggregation of stock variables - The Chow-Lin method extended to dynamic models," Documents de Travail de l'Insee - INSEE Working Papers g2013-03, Institut National de la Statistique et des Etudes Economiques.
    • Handle: RePEc:nse:doctra:g2013-03
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    File URL: https://www.bnsp.insee.fr/ark:/12148/bc6p06zr5w2/f1.pdf
    File Function: Document de travail de la DESE numéro G2013-03
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    More about this item

    Keywords

    temporal disaggregation; Chow-Lin; Denton; quarterly national accounts;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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