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Re: st: Temporal desagregation
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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