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The Chow-Lin method extended to dynamic models with autocorrelated residuals

Author

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  • Poissonnier Aurélien

    (Insee, Dese, Timbre G220 15 bd Gabriel Péri BP. 100, Malakoff, Cedex 92244, France)

Abstract

I provide a closed-form solution to temporal disaggregation or interpolation models which is both general in terms of dynamic structure of the model (lags of the high-frequency variable) and flexible in terms of autocorrelation of its residual. As for static models, I show that assuming autocorrelated residuals in dynamic models is practically convenient. To illustrate the potential of the solution proposed, I provide an example for quarterly non-financial corporations’ capital stock in computers and communication equipment.

Suggested Citation

  • Poissonnier Aurélien, 2018. "The Chow-Lin method extended to dynamic models with autocorrelated residuals," Journal of Time Series Econometrics, De Gruyter, vol. 10(1), pages 1-17, January.
    • Handle: RePEc:bpj:jtsmet:v:10:y:2018:i:1:p:17:n:2
    DOI: 10.1515/jtse-2016-0007
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    References listed on IDEAS

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    1. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, October.
    2. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    3. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-476, August.
    4. Tommaso Proietti, 2006. "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    time series; temporal disaggregation; interpolation; 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

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