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I've done it that way in the past when rebuilding my site due to a hosting-upgrade error.
I don't recommend it as you will have to:
1. backup the database tables for the core and each module individually
2. reinstall each module in turn
3. make sure that the module id numbers in the database are the same as before (otherwise you'll get orphaned or misplaced comments, etc). This will mean editing your live database.
4. import your modules' tables and tables for things like members, etc.
Sure, you'll have a clean install, but it's a lot of work.
Far better to download the full package and follow the upgrade instructions.
BACKUP THE DATABASE FIRST ANYWAY!!