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st: Re: low freq -> high freq

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: low freq -> high freq
Date   Tue, 15 Mar 2005 06:35:33 -0500

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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