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THE CHOICE OF THE AGGREGATION LEVEL IN THE ESTIMATION OF QUARTERLY NATIONAL ACCOUNTS
Author(s) -
Cainelli Giulio,
Lupi Claudio
Publication year - 1999
Publication title -
review of income and wealth
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.024
H-Index - 57
eISSN - 1475-4991
pISSN - 0034-6586
DOI - 10.1111/j.1475-4991.1999.tb00361.x
Subject(s) - econometrics , estimation , series (stratigraphy) , economics , econometric model , national accounts , order (exchange) , statistics , mathematics , macroeconomics , finance , paleontology , management , biology
Many central statistical offices use indirect time series disaggregation methods to produce quarterly national accounts estimates or other high frequency variables. This paper investigates the relation existing between the statistical properties of indirectly estimated time series and the contemporaneous aggregation level at which estimation is carried out, when a version of the Chow‐Lin (1971, 1976) method is used to evaluate quarterly time series. It is shown that estimation at the lowest possible level of contemporaneous aggregation is not always optimal. In order to choose the level of contemporaneous aggregation at which time series disaggregation should be carried out, the use of formal econometric tests is suggested.