Abstract
A continuous-time dynamic interpolation method for deriving high-frequency data is illustrated by deriving monthly data from quarterly data on two US macroeconomic variables: industrial production as a flow variable and the money supply as a stock variable. Analysis of the actual and interpolated series shows that they do not differ significantly in terms of the basic statistics and that they are cointegrated with a cointegarting vector of (–1,0,1). Unlike other interpolation methods, this method distinguishes between stock and flow variables.
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