Interpolating flow and stock variables in a continuous-time dynamic framework

Imad A. Moosa and Kelly Burns

Applied Economics Letters, 2013, vol. 20, issue 7, 621-625

Abstract: A continuous-time dynamic interpolation method for deriving high-frequency data is illustrated by deriving monthly data from quarterly data on two US macroeconomic variables: industrial production as a flow variable and the money supply as a stock variable. Analysis of the actual and interpolated series shows that they do not differ significantly in terms of the basic statistics and that they are cointegrated with a cointegarting vector of (--1,0,1). Unlike other interpolation methods, this method distinguishes between stock and flow variables.

Date: 2013
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DOI: 10.1080/13504851.2012.727969

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