Low to High Frequency Conversion

[Tristan]

Dear Forum Users,

I have a small query on dis-aggregating a low frequency series to a higher frequency series, using indicator variables. More specifically, I have annual real GDP, and I am creating a quarterly real GDP series using quarterly indicators as in the Chow Lin or Litterman methods. In performing the conversion, do Eviews utilize all the quarterly indicators in the quarterly work file? Or just a subset? Many thanks!

Best wishes,

Tristan

[EViews Rebecca]

What subset are you thinking of? EViews uses, for the most part, the entire indicator series. If your benchmark series is shorter than the indicator series then naturally the portion of the indicator series matching the benchmark is used.

[Tristan]

Hi,

Thank you for reply. I did not actually have a subset in mind, just wanted to confirm that all the quarterly indicators - in my application I had 6 indicators - are used in distributing the annual benchmark series. I thought that somehow the program would have shown if all 6 indicators, or just 4 out of the 6 were used.

Best wishes,

Tristan