Internal Validation of Temporal Disaggregation: A Cloud Chamber Approach

Müller-Kademann Christian ()
Additional contact information
Müller-Kademann Christian: German University in Cairo – GUC, Faculty of Management Technology, Department of Economics, Al Tagamoa Al Khames, 11835 New Cairo City, Egypt

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2015, vol. 235, issue 3, 298-319

Abstract: Temporal disaggregation is a recurrent problem in applied econometrics. This paper proposes a novel test approach for checking internal consistency of the disaggregation procedure. This test can serve as a substitute for external validations which deems useful when disaggregating under data poor conditions. The test builds on Chow and Lin’s 1971 disaggregation model and rests on the known parameter decay triggered by the temporal aggregation. A simulation study shows that the test indeed provides useful information. Temporal disaggregation of Swiss GDP figures illustrate the approach.

Keywords: Temporal disaggregation; restricted ARMA; internal consistency tests (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/jbnst-2015-0305 (text/html)

Related works:
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: https://EconPapers.repec.org/RePEc:jns:jbstat:v:235:y:2015:i:3:p:298-319

DOI: 10.1515/jbnst-2015-0305

Access Statistics for this article

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) is currently edited by Peter Winker

More articles in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) from De Gruyter
Bibliographic data for series maintained by Peter Golla ().