The Chow-Lin method extended to dynamic models with autocorrelated residuals

Major update of Insee working paper, r&r Journal of Time Series Econometrics

I provide a solution to temporal disaggregation or interpolation models which is both general in terms of dynamic structure of the model (lags of the high frequency variable) and flexible in terms of autocorrelation of the residual. The general solution proposed is based on explicit and direct maximum likelihood estimation. To illustrate the practicality of the solution proposed, I provide an example for quarterly non-financial corporations’ capital stock in computers and communication equipment.

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