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Re: st: Temporal desagregation


From   "Sebastian Kruk" <residuo.solow@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Temporal desagregation
Date   Mon, 3 Sep 2007 11:28:26 -0300

Mike, you are right! I am looking this kind of procedure. I found a
interface in Excel for Matlab programs but I would like to use it in
Stata.

2007/9/3, Michael Hanson <mshanson@mac.com>:
> 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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