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Jahrbücher für Nationalökonomie und Statistik

Journal of Economics and Statistics

Editor-in-Chief: Winker, Peter

Ed. by Büttner, Thiess / Riphahn, Regina / Smolny, Werner / Wagner, Joachim

6 Issues per year


IMPACT FACTOR 2017: 0.456

CiteScore 2017: 0.47

SCImago Journal Rank (SJR) 2017: 0.231
Source Normalized Impact per Paper (SNIP) 2017: 0.606

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ISSN
2366-049X
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Volume 235, Issue 3

Issues

Internal Validation of Temporal Disaggregation: A Cloud Chamber Approach

Prof. Dr. Christian Müller-Kademann
  • German University in Cairo – GUC, Faculty of Management Technology, Department of Economics, Al Tagamoa Al Khames, 11835 New Cairo City, Egypt
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Published Online: 2016-03-16 | DOI: https://doi.org/10.1515/jbnst-2015-0305

Summary

Temporal disaggregation is a recurrent problem in applied econometrics. This paper proposes a novel test approach for checking internal consistency of the disaggregation procedure. This test can serve as a substitute for external validations which deems useful when disaggregating under data poor conditions. The test builds on Chow and Lin’s 1971 disaggregation model and rests on the known parameter decay triggered by the temporal aggregation. A simulation study shows that the test indeed provides useful information. Temporal disaggregation of Swiss GDP figures illustrate the approach.

Keywords: Temporal disaggregation; restricted ARMA; internal consistency tests

About the article

Published Online: 2016-03-16

Published in Print: 2015-06-01


Citation Information: Jahrbücher für Nationalökonomie und Statistik, Volume 235, Issue 3, Pages 298–319, ISSN (Online) 2366-049X, ISSN (Print) 0021-4027, DOI: https://doi.org/10.1515/jbnst-2015-0305.

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© 2015 by Lucius & Lucius, Stuttgart.

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