The Chow-Lin method extended to dynamic models with autocorrelated residuals

Aurélien Poissonnier

Journal of Time Series Econometrics, 2018, vol. 10, issue 1, 17

Abstract: I provide a closed-form solution to temporal disaggregation or interpolation models which is both general in terms of dynamic structure of the model (lags of the high-frequency variable) and flexible in terms of autocorrelation of its residual. As for static models, I show that assuming autocorrelated residuals in dynamic models is practically convenient. To illustrate the potential of the solution proposed, I provide an example for quarterly non-financial corporations’ capital stock in computers and communication equipment.

Keywords: time series; temporal disaggregation; interpolation; Chow-Lin; Denton; quarterly national accounts (search for similar items in EconPapers)
JEL-codes: C22 C51 C82 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/jtse-2016-0007

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