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st: major overhaul of -denton- now available


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: major overhaul of -denton- now available
Date   Fri, 12 Aug 2011 11:27:21 -0400

<>
The -denton- routine, first circulated almost a decade ago, allows users of time-series data to produce higher frequency measurements of a flow series which is not recorded at the higher frequency by use of an 'indicator series'. For instance, GDP is not available at a monthly frequency, nor is population generally available at a quarterly frequency. If one can identify an appropriate indicator series (e.g., industrial production for GDP) you may use -denton- to perform this transformation via the "Proportional Denton" method.

The 2001 version of -denton- made use of Stata's matrix language (and the constraints that involves) and was rather cumbersome to use, in that one had to manually 'spread' the low-frequency series onto a high-frequency dataset. -denton- only did annual-to-quarterly interpolation, while -dentonmq- did quarterly-to-monthly interpolation.

The heavy lifting involved in rewriting the routine (more or less from scratch) was performed by my coauthor and summer research assistant, Sylvia Hristakeva, who implemented the computational section of the routine in Mata (relaxing any size constraints) and implemented a design in which, with the low-frequency series in memory, you merely specify the separate Stata dataset containing the indicator series, and its name therein. Stata handles all of the messy calendar alignment and produces a new high-frequency dataset. The routine can handle either A->Q, A->M or Q->M interpolation. Although the Denton  method is designed to be applied to flow time-series, a -stock- option allows application to a stock series (and stock indicator variable) via differencing. 

My -tscollap- routine, available from SSC, may be used to verify that the constraints inherent in the problem have been imposed. The package contains an optionally downloadable Stata certiification script that tests the program's functionality.

The new, improved -denton- package may be downloaded from SSC or acquired via -adoupdate denton, update-. The package contains the older routine, renamed to -denton7- and -dentonmq7-, for users of Stata < v.11.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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