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A random walk, Markov model for the distribution of time series


Abstract: This paper describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernandez (1981). The paper also presents results of a test of the accuracy of these two approaches and two standard procedures suggested by Chow and Lin (1971).

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Provider: Federal Reserve Bank of Minneapolis

Part of Series: Staff Report

Publication Date: 1983

Number: 84