A random walk, Markov model for the distribution of time series
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).
|Date of creation:||1983|
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- 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.
- Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
- 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.
- Tom Doan, "undated". "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
- Tom Doan, "undated". "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
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