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Re: st: turning low frequency data into high frequency

From   Marcello Pagano <[email protected]>
To   [email protected]
Subject   Re: st: turning low frequency data into high frequency
Date   Tue, 15 Mar 2005 06:19:02 -0500

In the old days this would be viewed as concocting data, either by
interpolation or some general smoothing device.  It was somewhat
dishonest because one could not quantify the extra information
introduced by the  creation.  Today, there is another option available
and that is imputation.  Stata has a few options for doing this.
What you need is constrained imputation, for example if you
observe the quarterly sum of the monthly observations, then the
constraint is that the monthly observations need to satisfy the
sum constraint.  If this makes sense, then the answer, as far
as I know, is no.  But there are a number of programs you can
build on to satisfy your extra requirement. This approach
would be a little more honest because you can quantify
the uncertainty more accurately.


Fabia Carvalho wrote:

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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