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Autoregressive Approaches to Disaggregation of Time Series Data

Author

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  • Kalman J. Cohen
  • Wolfgang Müller
  • Manfred W. Padberg

Abstract

It is sometimes necessary to disaggregate (“interpolate”) a given economic time series to obtain values for shorter subperiods. For example, monthly values of GNP may be desired when only a sequence of quarterly data is available. We generalize a previous method so that it can be used to derive values for subperiods of any specified length which are consistent with available data for longer time periods. In addition to the theoretical development we discuss practical considerations for computational implementation.

Suggested Citation

  • Kalman J. Cohen & Wolfgang Müller & Manfred W. Padberg, 1971. "Autoregressive Approaches to Disaggregation of Time Series Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 20(2), pages 119-129, June.
    • Handle: RePEc:bla:jorssc:v:20:y:1971:i:2:p:119-129
    DOI: 10.2307/2346460
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    Cited by:

    1. Cholette, Pierre A., 1990. "L’annualisation des chiffres d’exercices financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 66(2), pages 218-230, juin.

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