论文信息 - Methods for quarterly disaggregation without indicators; a comparative study using simulation

Methods for quarterly disaggregation without indicators; a comparative study using simulation

AbstractVarious methods have been proposed to estimate quarterly gures from annual time series,but these methods have not been systematically evaluated in order to know which to use withwhich kind of data. This study compares, with a Monte Carlo simulation, those methods thatuse only information from annual series. Dierences in the results of the methods, analyzed asfunctions of characteristics such as the number of years or variability of the original annual timeseries, suggest which methods to use under which conditions. c 2003 Elsevier Science B.V. All rights reserved. Keywords:Time series disaggregation; Simulation 1.IntroductionOften the main regional macroeconomic gures are annual, while economic indica-tors are monthly or quarterly. To model a regional economy one must aggregate theinformation provided by indicators in order to make them annual, and thus be able torelate them to macroeconomic gures. This aggregation results in a loss of eciencyin the estimation of the model’s parameters, as Palm and Nijman (1984), Nijman andPalm (1988a, b), Weiss (1984) and others have shown. Furthermore, Nijman and Palm

Santiago Rodr | Alejandro Rodr

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