Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model-Based Procedure
Advances In Econometrics, Vol 13 1998, 1998, 13, 181-202
MARCELLINO, Massimiliano, Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model-Based Procedure, Advances In Econometrics, Vol 13 1998, 1998, 13, 181-202 - https://hdl.handle.net/1814/16780
Retrieved from Cadmus, EUI Research Repository
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. Finally, some important identification issues are discussed.
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