A Methodological Note on the Estimation of Time Series

Roque Benjamin Fernandez

355 citations0/0 files storedThe Review of Economics and Statistics

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Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

ChowLin distributes a series, changing the frequency to a higher one while maintaining the sum over each period, using the Chow-Lin(1971) or related procedure. The newer procedure disaggregate.src is a better choice. Chow and Lin(1971), Best Linear Unbiased Interpolation, Distribution and Extrapolation of Time Series by Related Series, Review of Economics and Statistics, vol 53, 372-375. Fernandez(1981), A Methodological Note on the Estimation of Time Series, Review of Economics and Statistics, vol 63, 471-478. Litterman(1983), A Random Walk, Markov Model for the Distribution of Time Series, JBES, vol 1, 169-173.(This abstract was borrowed from another version of this item.)

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1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series 2021Short- Term Interest Rates as Predictors of Inflation

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