IRIS Toolbox Reference Manual

chowlin

Chow-Lin distribution of low-frequency observations over higher-frequency periods

Syntax

[Y2,B,RHO,U1,U2] = chowlin(Y1,X2)
[Y2,B,RHO,U1,U2] = chowlin(Y1,X2,range,...)

Input arguments

Output arguments

Options

Description

Chow,G.C., and A.Lin (1971). Best Linear Unbiased Interpolation, Distribution and Extrapolation of Time Series by Related Times Series. Review of Economics and Statistics, 53, pp. 372-75.

See also Appendix 2 in Robertson, J.C., and E.W.Tallman (1999). Vector Autoregressions: Forecasting and Reality. FRB Atlanta Economic Review, 1st Quarter 1999, pp.4-17.

Example