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

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.

MoreLess

Year of publication:	1997
Authors:	Marcellino, M.
Institutions:	Department of Economics, European University Institute
Subject:	TIME SERIES \| MODELS

More details

Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005697675