st: re: temporal disaggregation

[Kit Baum <baum@bc.edu>]

Michael 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.


The World Bank's preferred method is the Denton procedure; findit  
denton within Stata. That only alters the frequency by one, though-- 
from annual to quarterly, or from quarterly to monthly. I agree with  
Michael that going from annual to monthly is likely to be befraught  
with problems. I would recommend using an available monthly series as  
a proxy, ignoring the GDP figures. A popular choice is an industrial  
production index.


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


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