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st: Re: interpolating quarterly->monthly


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: interpolating quarterly->monthly
Date   Sat, 13 Nov 2004 10:03:20 -0500

The denton method (like the Chow-Lin approach) distributes the observations of a low-frequency series (eg quarterly) to a higher frequency (eg monthly) obeying the accounting constraint that if you aggregate the resulting series, you reproduce the original. The distribution is performed with an 'associated series' or indicator variable at the higher frequency; the approach imposes the pattern of the indicator variable on the low-frequency series movements within the period. Here is an example of how to do that with your series. I don't know what a sensible indicator variable would be, so I just used US index of industrial production as an illustration. Note the "+2" in the gen mm statement; both denton routines require the low-frequency series to be aligned with the LAST observation of the period (eg third month of quarter, not first or second).

clear
input str8 dt fpi
déc-87 84.2
mars-88 85.6
juin-88 88.4
sept-88 90.9
déc-88 92.3
mars-89 93.7
juin-89 96.6
sept-89 99.0
déc-89 99.3
mars-90 99.5
juin-90 102.2
sept-90 101.5
déc-90 102.5
mars-91 104.7
juin-91 104.3
sept-91 105.0
déc-91 105.5
end
tsmktim qq, start(1987q4)
g mm = mofd(dofq(qq))+2
format mm %tm
tsset mm
tsfill
save denton1,replace
use http://fmwww.bc.edu/ec-p/data/wooldridge/VOLAT,clear
tsmktim mm, start(1947m1)
drop if tin(,1987m11) | tin(1992m1,)
keep ip mm
save denton2,replace
use denton1
merge mm using denton2
drop _merge
dentonmq fpi, ind(ip) gen(monthly_fpi)
l

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Nov 13, 2004, at 2:33 AM, statalist-digest wrote:



I want to generate a monthly series. Kit Baum has proposed the denton method. for the basically generating monthly series from a quarterly one, I know that the stata code is:
dentonmq qflow, ind(mflow) gen(minterp)
But I can't understand what's the indicator variable (mflow) in my case? and How can I have a monthly series with this stata code That I can't understand it? I hope someone will be able to help me with this.

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