To convert a quarterly data to a monthly data.
On 20-02-2013, at 21:21, "Yuan, Rebecca" <rebecca.yuan at bankofamerica.com> wrote:
Hello Rolf, Thanks for your kind reply! I figured out there is a function splint in fields that can do the cubic spine interpolation which would enable me to get the monthly series from the quarterly series. Problem solved. Here is the code I use the do the task: out <- cbind(out, splint(qtrly$rDate, qtrly[,names(qtrly)[i]] ,subset(mthly, rDate <= max(qtrly$rDate))$rDate )) where qtrly is the quarterly data and mthly is the monthly data.
Here is an example using package zoo: library(zoo) yq <- zooreg(c(100,101,120,103), start=2000, frequency=4) # complicated method zm <- zooreg(rep(NA,12),start=2000,freq=12) merge(yq,zm) na.spline(merge(yq, zm)[, 1]) # Easy direct method taken from help pages of zoo na.spline(yq, xout=as.yearmon(start(yq)+(0:11)/12)) or na.approx(yq, xout=as.yearmon(start(yq)+(0:11)/12)) Berend