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A Mixed Splicing Procedure for Economic Time Series

16 Pages Posted: 9 Jan 2010  

Angel de la Fuente

Spanish Council for Scientific Research (CSIC) - Insitute for Economic Analysis; Centre for Economic Policy Research (CEPR); CESifo (Center for Economic Studies and Ifo Institute)

Date Written: December 2009

Abstract

This note develops a flexible methodology for splicing economic time series that avoids the extreme assumptions implicit in the procedures most commonly used in the literature. It allows the user to split the required correction to the older of the series being linked between its levels and growth rates on the basis what he knows or conjectures about the persistence of the factors that account for the discrepancy between the two series that emerges at their linking point. The time profile of the correction is derived from the assumption that the error in the older series reflects the inadequate coverage of emerging sectors or activities that grow faster than the aggregate.

Keywords: linking, splicing, economic series

JEL Classification: C82, E01

Suggested Citation

de la Fuente, Angel, A Mixed Splicing Procedure for Economic Time Series (December 2009). CESifo Working Paper Series No. 2876. Available at SSRN: https://ssrn.com/abstract=1532638

Angel De la Fuente (Contact Author)

Spanish Council for Scientific Research (CSIC) - Insitute for Economic Analysis ( email )

UAB Campus
E-08193 Bellaterra
Spain
+34 3 580 6612 (Phone)
+34 3 580 1452 (Fax)

Centre for Economic Policy Research (CEPR)

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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