I need to convert a yearly data into a quarterly and monthly data? Can anybody please help me convert yearly data into monthly and quarterly data?
 A: Welcome to the site.
Unless you are willing to make assumptions, there is no way to convert yearly data into monthly or quarterly data.  
If you are willing to make the assumption that whatever it is you have data on happens at a uniform rate throughout the year then quarterly data would just be yearly data divided by 4.  Monthly data is a little trickier, but not much. You'd need to multiply the yearly data by (days in month)/365 to get close. If you want to account for leap years too, you can.
But that assumption is awfully dangerous; few things happen at the same rate all year.  There may be other assumptions that are more reasonable.
A: We need to make assumptions to convert a time series from quarterly to monthly. Sometimes, one must transform a series from quarterly to monthly since one must have the same frequency across all variables to run a regression. In Economics,  it is common to use the  cubic spline interpolation to convert quarterly data into monthly. Let's assume that we have n quarterly data points, which implies n - 1 spaces between them. Across each space, we draw a unique 3rd-degree polynomial connecting two points. If you are conducting your analysis in excel, you can do this: http://newtonexcelbach.wordpress.com/2009/07/02/cubic-splines/
There is a package in R that performs the cubic spline interpolation.
http://stat.ethz.ch/R-manual/R-patched/library/stats/html/splinefun.html
If you plan to use the data with cubic splines in a regression, be careful with autocorrelation in the residuals. In this case, it is recommend to use the Newey-West standard errors as they are robust against the autocorrelation caused by the cubic splines. 
