|
|||||
|
|
The Construction and Use of Approximations for Missing Quarterly Observations: A Model-Based Approach |
|
| Authors: | T E Nijman F C Palm |
| Institution: | 1. Tilburg University, Department of Econometrics , P.O. Box 90153, 5000 LE Tilburg, The Netherlands;2. University of Limburg, Department of Economics , P.O. Box 616, 6200 MD Maastricht, The Netherlands |
| Abstract: | We use a model-based approach to derive quarterly figures on several variables for the aggregate labor market in the Netherlands that are only observed annually. These approximations are conditional expectations derived from univariate and bivariate quarterly time series models for the series under consideration. They are subsequently used as proxies to estimate and analyze the structural labor market equations. Attention is given to the properties of estimation procedures based on proxy variables. |
| Keywords: | Proxy variables Interpolation Smoothing Structural model Kalman filter |