Temporal Disaggregation of Time Series

Temporal Disaggregation of Time Series

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 collectio...

A Polynomial Method for Temporal Disaggregation of Multivariate Time Series

Temporal disaggregation of economic time series: towards a dynamic extension

Temporal disaggregation of time series based on accumulated and inverse accumulated generating operations and interpolation method

Purpose – The purpose of this paper is to propose a new temporal disaggregation method for time series based on the accumulated and inverse accumulated generating operations in grey modeling and the interpolation method. Design/methodology/approach – This disaggregation method includes three main steps, including accumulation, interpolation, and differentiation (AID). First, a low frequency flo...

Testing temporal disaggregation

Economists and econometricians very often work with data which has been temporally disaggregated prior to use. Hence, the quality of the disaggregation clearly affects the quality of the analyses. Building on Chow and Lin’s (1971) disaggregation model this paper proposes a new estimation approach and a specification test which assesses the quality of the disaggregation model. An advantage of th...