Annual to quarterly frequency

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lisa
Posts: 45
Joined: Thu Jul 28, 2011 3:27 pm

Annual to quarterly frequency

Postby lisa » Tue Oct 26, 2021 6:03 am

Dear All,
I have 2 workfiles. The sample of the first workfile contains annual GDP from 1986 to 2019 and the sample of the second workfile contains the same data (annual GDP) but from 1986 to 2020.
When I use Denton approach to convert annual GDP to quarterly GDP, the 2 quarterly data series (in workfile 1 from 1986 to 2019 and workfile 2 from 1986 to 2020) are not identical. They are identical until the fourth quarter 2009, but from 2010 the quarterly series become different.
I can't understand this difference between quarterly converted data despite the fact that the annual database is the same.
Please can you help me to solve this problem. I need the same quarterly GDP series (the first one from 1986 to 2019 and the second from 1986 to 2020).
The results of data conversion using Denton approach are in the attached workfiles.
Attachments
quarterly conversion results.xlsx
(20.39 KiB) Downloaded 205 times
2020.wf1
(19.69 KiB) Downloaded 167 times
2019.wf1
(19.61 KiB) Downloaded 149 times

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Annual to quarterly frequency

Postby EViews Gareth » Tue Oct 26, 2021 8:58 am

Denton uses the entire annual data series when computing each quarterly value. Changing one annual data point (or adding/removing a data point) can change the quarterly values much earlier or later than the changed annual value.
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lisa
Posts: 45
Joined: Thu Jul 28, 2011 3:27 pm

Re: Annual to quarterly frequency

Postby lisa » Tue Oct 26, 2021 9:51 am

Thank you for your reply.
So which approach can I use to convert annual data into quarterly data in order to have the sama quarterly series in the 2 cases (data from 1986 to 2019 and data from 1986 to 2020) ?

EViews Gareth
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Posts: 13294
Joined: Tue Sep 16, 2008 5:38 pm

Re: Annual to quarterly frequency

Postby EViews Gareth » Tue Oct 26, 2021 9:53 am

Pretty much anything other than Denton, Chow-lin or Litterman.

The documentation has details.
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lisa
Posts: 45
Joined: Thu Jul 28, 2011 3:27 pm

Re: Annual to quarterly frequency

Postby lisa » Tue Oct 26, 2021 9:59 am

Ok thanks a lot


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