Denton/Litterman frequency conversion for panel data?

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JanVinter
Posts: 10
Joined: Thu Apr 30, 2015 9:49 am

Denton/Litterman frequency conversion for panel data?

Postby JanVinter » Tue Jun 09, 2015 9:16 am

So with regards to simple time series low-to-high frequency conversion, EViews offers lots of options, such as constant, quadratic, Denton, Chow-Lin etc. However, as far as I can tell, when carrying out the same conversions in a panel data set, there are only a few conversion methods available, while Denton, Litterman and Chow-Lin do not appear to be selectable options. I was wondering if there is a theoretical reason behind this and if not, whether there are other ways to implement these more advanced frequency conversion methods (short of manipulating the data set prior to importation so that it can be read as a simple time series, which would be somewhat impractical for the fairly large data set that I am dealing with at the moment)

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