The time desegregation of GDP series for chosen five South-East European countries


This paper applies time disaggregation techniques to estimate monthly from yearly GDP series of five chosen South-East European countries for the period 2003-2012. We believe that this is important because the time dimension of the available data for these countries happens to be too short for the time series analysis. Somewhat short time series that we start from also constrain our results to a certain degree but we are still able to produce the data set that is big enough to satisfy asymptotic properties of some time series estimators and enables the time series analysis on the GDP series in the given sample of countries. We use Chow-Lin (1971) and Fernandez (1981) approaches as well as the Denton (1970) method. We use monthly industrial production index as the indicator variable. Our robustness check includes unit root and cointegration tests on time series we analyse.

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