Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures

Economics Working Papers from European University Institute

Abstract: We suggest a simple non model based procedure to recover a time series from its temporally aggregated realizations. If additional assumptions on the under lying process are intorduced, it is shown that the procedure is related to many of the former proposals in the literature. It can also be easily modified to deal with the estimation of missing observations and outliers, and with forecasting. Some important identification issues are finally discussed.

Keywords: TIME SERIES; MODELS (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Date: Written 1997
View citations in EconPapers

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Persistent link: http://EconPapers.repec.org/RePEc:eui:euiwps:eco97/30

Access Statistics for this paper

More papers in Economics Working Papers from European University Institute
Address: Badia Fiesolana, Via dei Roccettini, 9, 50016 San Domenico di Fiesole (FI) Italy
Contact information at EDIRC.
Series data maintained by Marcia Gastaldo ().