A random walk, Markov model for the distribution of time series

Robert Litterman

No 84, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: This paper describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernandez (1981). The paper also presents results of a test of the accuracy of these two approaches and two standard procedures suggested by Chow and Lin (1971).

Date: 1983
View list of references View citations in EconPapers

Downloads: (external link)
http://minneapolisfed.org/research/sr/sr84.pdf (application/pdf)

Related works:
Journal Article: A Random Walk, Markov Model for the Distribution of Time Series (1983)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:fip:fedmsr:84

Ordering information: This working paper can be ordered from
http://www.minneapolisfed.org/pubs/

Access Statistics for this paper

More papers in Staff Report from Federal Reserve Bank of Minneapolis
Contact information at EDIRC.
Series data maintained by Diane Rosenberger ().