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Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts

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  • Laura Bisio
  • Filippo Moauro

Abstract

In this paper, we discuss the most recent developments in temporal disaggregation techniques carried out at the Istituto Nazionale di Statistica (ISTAT). They concern the extension from static to dynamic autoregressive distributed lag regressions and the adoption of the state‐space framework for the statistical treatment of temporal disaggregation. Beyond the development of a unified procedure for both static and dynamic methods from one side and the treatment of the logarithmic transformation from the other, we provide short guidelines for model selection. The inclusion of stochastic trends in the regressions is also discussed. We evaluate the new dynamic methods by implementing a large‐scale exercise using the ISTAT annual value added data jointly with quarterly industrial production over the 1995–2013 period. The main finding is that autoregressive distributed lag disaggregations reduce forecast errors in comparison to static variants, at a price of lower correlations with related high‐frequency indicators. Moreover, problematic outcomes are limited to few cases.

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  • Laura Bisio & Filippo Moauro, 2018. "Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 471-494, November.
    • Handle: RePEc:bla:stanee:v:72:y:2018:i:4:p:471-494
    DOI: 10.1111/stan.12156
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    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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