Temporal Disaggregation Using Multivariate Structural Time Series Models  

Oleh:

Moauro, Filippo ; Savio, Giovanni

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 8 no. 2 (2005), page 214-234.
Topik: time series models; temporal disaggregation; multivariate structural time series models; common structural components; kalman filter
Fulltext: 214.pdf (154.99KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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In this paper, we provide a multivariate framework for temporal disaggregation of time series observed at a given frequency into higher frequency time series. The suggested method uses the seemingly unrelated time series equations model and it is estimated by the Kalman filter. The methodology is flexible enough to allow for almost any kind of temporal disaggregation problems of both raw and seasonally adjusted time series. Comparisons with other temporal disaggregation methods proposed in the literature are presented using a wide OECD data set.

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