Due to maintenance, the Publications.gc.ca website may operate intermittently between 5:00 am ET until 9:00 am ET on Sunday, October 22, 2017.
A statistical approach for disaggregating mixed-frequency economic time series data: CS11-617/97-4E-PDF
"The problem of mixed-frequency time series data arises from changing the observation frequency. For example, we may have a time series with quarterly observations in the first portion and annual figures in the remainder. We shall call that quarter-year mixed-frequency data. In this paper we suggest a method to disaggregate the annual observations to quarterly values. The proposed method can easily be generalised to the year-quarter, quarter-month, year-month and other mixed-frequency situations; it may avoid difficulties of time series modelling and is easy to implement. A step-by-step algorithm of the method is given so that econometricians not expert in this area can still perform the procedure. The proposed method is illustrated through two real examples. We also conduct a small scale Monte Carlo experiment to compare the proposed procedure with two existing alternative methods. Finally, some concluding remarks are given"--Abstract.
|Department/Agency||Statistics Canada. Methodology Branch.|
|Title||A statistical approach for disaggregating mixed-frequency economic time series data|
|Series Title||Working paper ;|
|Publication Type||Series - View Master Record|
|Electronic Document|| |
Information identified as archived is provided for reference, research or recordkeeping purposes. It is not subject to the Government of Canada Web Standards and has not been altered or updated since it was archived. Please contact the authoring department to request a format other than those available.
We invite you to consult the Frequently Asked Questions page for additional information regarding the Archived Content notice.
Note: The URLs contained in this/these document(s) may no longer be functional
|Note||Digitized edition from print [produced by Statistics Canada]. "Working Paper No. BSMD-97-004E." "July, 1997."|
|Number of Pages||14,  p. :|
|Departmental Catalogue Number||11-617 no. 97-04E|
|Subject Terms||Methodology, Statistical analysis|
- Date modified: