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Re: st: turning low frequency data into high frequency


From   "Michael S. Hanson" <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: turning low frequency data into high frequency
Date   Mon, 14 Mar 2005 10:25:39 -0500

"indicator" series, you could use a Chow-Lin procedure (G. Chow & A.L. Lin, 1971 Review of Economics & Statistics) to extrapolate monthly observations for your quarterly series. Unfortunately, I am not aware of an existing Chow-Lin procedure for Stata... although code can be found on the web for Matlab, Gauss, and RATS, e.g.

-- Mike

On Mar 13, 2005, at 12:47 PM, Robert A Yaffee wrote:


Fabia,

One can usually aggregate downward with the collapse,
but to go upward is hard to do without more high frequency data
itself.
Bob Yaffee


2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Fabia Carvalho <fabiac@yahoo.com>
Date: Sunday, March 13, 2005 8:29 am
Subject: st: turning low frequency data into high frequency

Hi there, does anyone know if Stata can generate a
series of high frequency data (eg. monthly) from an
original low frequency one (eg. quarterly)? Thanks,
Fabia Carvalho
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