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

Massimiliano Marcellino

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)
Pages: 29 pages
Date: 1997
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Citations: View citations in EconPapers (2)

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

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