Constructing a monthly indicator of fixed capital formation via high frequency interpolation. The state space approach.

In this study, a different temporal disaggregation approach is tested for producing a monthly series from a quarterly statistic when monthly observations are lacking. Monthly realisations are obtained by interpolating the quarterly series using related monthly indicators and an autoregressive component. For optimal results, the whole is cast in the state space form. Good monthly indicators can thus be easily obtained, and real time analyses shows that the methods work in practice as well.