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Temporal Disaggregation of Time Series

Author

Listed:
  • Sax, Christoph
  • Steiner, Peter

Abstract

Temporal disaggregation methods are used to disaggregate low frequency time series to higher frequency series, where either the sum, the average, the first or the last value of the resulting high frequency series is consistent with the low frequency series. Temporal disaggregation can be performed with or without one or more high frequency indicator series. The package tempdisagg is a collection of several methods for temporal disaggregation.

Suggested Citation

  • Sax, Christoph & Steiner, Peter, 2013. "Temporal Disaggregation of Time Series," MPRA Paper 53389, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:53389
    as

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    File URL: https://mpra.ub.uni-muenchen.de/53389/1/sax-steiner.pdf
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    References listed on IDEAS

    as
    1. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    2. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    3. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-476, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    temporal disaggregation; time series; Chow-Lin; Denton; Fernandez; Litterman;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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