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A random walk, Markov model for the distribution of time series

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  • Robert B. Litterman

Abstract

This paper describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernandez (1981). The paper also presents results of a test of the accuracy of these two approaches and two standard procedures suggested by Chow and Lin (1971).

Suggested Citation

  • Robert B. Litterman, . "A random walk, Markov model for the distribution of time series," Staff Report, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:84
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, May.
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