AND

Many central statistical offices use indirect time series disaggregation methods to produce quarterly national accounts estimates or other high frequency variables. This paper investigates the relation existing between the statistical properties of indirectly estimated time series and the contemporaneous aggregation level at which estimation is carried out, when a version of the Chow-Lin (1971, 1976) method is used to evaluate quarterly time series. It is shown that estimation at the lowest possible level of contemporaneous aggregation is not always optimal. In order to choose the level of contem-poraneous aggregation at which time series disaggregation should be carried out, the use of formal econometric tests is suggested. The implications for applied economic analysis of the sources and methods used to estimate National Accounts (NA) aggregates have been recently strongly emphasized. In fact, some recent contributions highlight the possible conse-quences deriving from the presence of sampling errors (Bell and Wilcox, 1993; Wilcox, 1992), from the use of seasonal adjustment methods (Ghysels and Perron, 1993; Maravall, 1997), and from the adoption of untested hypotheses such as specific aggregation schemes (Richter, 1994). In this paper we investigate the dis