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Interpolation of Economic Time Series, with Application to German and Swedish Data

  • John S. Chipman
  • Beverly J. Lapham
Conference paper
Part of the Studies in Empirical Economics book series (STUDEMP)

Abstract

It is a common occurrence in empirical work that some time series are available on a monthly basis, some quarterly, and some only on an annual basis, and one wishes to construct a higher-frequency series from a low-frequency one (say quarterly from annual) given information on related time series that are available at a higher frequency. Two examples of this are: (1) stock variables like plant and equipment, information on which may be available only at particular times of the year (say the first quarter); and (2) flow variables such as national income or price level, which may be available only for the entire year. In the case of a stock variable, one would want the interpolated series to agree with the actual series at the point in time when information on the latter is available. In the case of a flow variable, one would want the sum (or average, as the case may be) of the interpolated (say quarterly) series to agree with the the actual annual series.

Keywords

Nonnegativity Constraint Economic Time Series Equipment Investment Import Price Index Negative Negative 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Physica-Verlag Heidelberg 1995

Authors and Affiliations

  • John S. Chipman
  • Beverly J. Lapham

There are no affiliations available

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