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Re: st: Temporal desagregation


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Temporal desagregation
Date   Mon, 3 Sep 2007 09:26:21 -0400

On Sep 3, 2007, at 12:48 AM, Sebastian Kruk wrote:

I have a yearly gross product data and I would like to transform to
montly data.

Is there a program to do it?
You may be looking for something like the Chow-Lin procedure. (Google it, and/or "disaggregation".) It uses higher-frequency series that are conceptually correlated with your lower-frequency series (e.g. GDP) to make imputations about the hypothetical higher- frequency values of that series. I know a procedure to do so has been implemented in RATS; I have seen papers reference Gauss programs that implement it; to the best of my knowledge it has not been programmed in Stata. There is a literature on this topic that you should explore, and some authors have suggested alternatives.

Note that a typical application of these types of procedures uses a large number of monthly indicator series (50-100 would not be uncommon) and typically imputes something like GDP from quarterly to monthly. I suspect that attempting to use these types of procedures to extract monthly GDP figures from annual data is unlikely to yield anything very useful, and to have a very large degree of uncertainty associated with it. Good luck.


Chow, Gregory C. and An-Loh Lin. 1971. "Best Linear Unbiased Interpolation, Distribution and Extrapolation of Time Series by Related Time Series." Review of Economics and Statistics, 53:372-375.

-- Mike


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