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st: Re: low freq -> high freq
Indeed, the Denton procedure is pattern-preserving in the indicator
series subject to the accounting constraint that the high freq values
add up to the original low freq value. So e.g. industrial production
(which is available monthly) may be used as an indicator for GDP (which
is only available quarterly). One must choose the indicator series with
some understanding of the underlying economic relationships, since you
are imposing the pattern of the indicator on the intermediate values of
the constructed series. It beats dot-to-dot interpolation hands down.
Kit Baum, Boston College Economics
On Mar 15, 2005, at 2:33 AM, Nick wrote:
Perhaps I should have underlined that
economists do this ... with the aid
of a so-called indicator series
at the higher frequency. Thus any
inferences, or implications, that this is "making it up"
are going too far. Like many statistical
procedures, it is a matter of doing the
best you can with the data you have.
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