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Missing observations in the dynamic regression model

Author

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  • Palm, F.C.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

  • Nijman, Th.

Abstract

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Suggested Citation

  • Palm, F.C. & Nijman, Th., 1982. "Missing observations in the dynamic regression model," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  • Handle: RePEc:vua:wpaper:1982-18
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    File URL: http://degree.ubvu.vu.nl/repec/vua/wpaper/pdf/19820018.pdf
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    References listed on IDEAS

    as
    1. Palm, F. C. & Nijman, T. E., 1982. "Linear regression using both temporally aggregated and temporally disaggregated data," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 333-343, August.
    2. Hsiao, Cheng, 1979. "Linear regression using both temporally aggregated and temporally disaggregated data," Journal of Econometrics, Elsevier, vol. 10(2), pages 243-252, June.
    3. Gelauff, G. M. M. & Harkema, R., 1977. "Estimating Quarterly Models With Partly Missing Quarterly Observations," Papers 272160, Econometric Institute Archives.
    4. Christian Gourieroux & Alain Monfort, 1981. "On the Problem of Missing Data in Linear Models," Review of Economic Studies, Oxford University Press, vol. 48(4), pages 579-586.
    5. 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.
    6. 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.
    7. Zellner, Arnold & Montmarquette, Claude, 1971. "A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 335-342, November.
    8. GINSBURGH, Victor A., 1973. "A further note on the derivation of quarterly figures consistent with annual data," CORE Discussion Papers RP 161, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-563, May.
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    Cited by:

    1. Thiago Carlomagno Carlo & Emerson Fernandes Marçal, 2016. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Applied Economics, Taylor & Francis Journals, vol. 48(50), pages 4846-4860, October.
    2. Nijman, Theo E & Palm, Franz C, 1990. "Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-415, October.
    3. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    4. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," CORE Discussion Papers 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," CORE Discussion Papers 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    7. Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-26.
    8. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June.
    9. 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.
    10. repec:hal:journl:peer-00815563 is not listed on IDEAS
    11. Alexandre Petkovic & David Veredas, 2009. "Aggregation of linear models for panel data," Working Papers ECARES 2009-012, ULB -- Universite Libre de Bruxelles.
    12. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
    13. José Manuel Pavía, 2000. "Desagregación conjunta de series anuales: perturbaciones AR(1) multivariante," Investigaciones Economicas, Fundación SEPI, vol. 24(3), pages 727-737, September.
    14. Feijoo, Santiago Rodriguez & Caro, Alejandro Rodriguez & Quintana, Delia Davila, 2003. "Methods for quarterly disaggregation without indicators; a comparative study using simulation," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 63-78, May.
    15. Peter Fuleky & Carl, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers 2013-5, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    16. Grammig, Joachim & Wellner, Marc, 1999. "Modeling the interdependence of volatility and inter-transaction duration processes," SFB 373 Discussion Papers 1999,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    17. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
    18. Santos Silva, J. M. C. & Cardoso, F. N., 2001. "The Chow-Lin method using dynamic models," Economic Modelling, Elsevier, vol. 18(2), pages 269-280, April.
    19. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
    20. Millimet, Daniel L. & McDonough, Ian K., 2013. "Dynamic Panel Data Models with Irregular Spacing: With Applications to Early Childhood Development," IZA Discussion Papers 7359, Institute for the Study of Labor (IZA).
    21. Pierse, R. G. & Snell, A. J., 1995. "Temporal aggregation and the power of tests for a unit root," Journal of Econometrics, Elsevier, vol. 65(2), pages 333-345, February.
    22. Alejandro Rodríguez Caro & Santiago Rodríguez Feijoo & Delia Dávila Quintana, 2003. "La trimestralización de variables flujo. Un estudio de simulación de los métodos de desagregación temporal con indicador," Documentos de trabajo conjunto ULL-ULPGC 2003-01, Facultad de Ciencias Económicas de la ULPGC.

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    Keywords

    Econometrie; Regressiemodellen;

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