Autore
Marcellino, Massimiliano

Titolo
Temporal disaggregation, missing observations, outliers, and forecasting: A unifying non-model based procedure
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1997 - Fascicolo: 30 - Pagina iniziale: 1 - Pagina finale: 29

We suggest a simple non model based procedure to recover a time series from its temporally aggregated realizations. If additional assumptions on the underlying process are introduced, 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



Testo completo: http://hdl.handle.net/1814/639

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