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Temporal disaggregation using multivariate structural time series models

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  • Filippo Moauro
  • Giovanni Savio

Abstract

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. Copyright 2005 Royal Economic Society

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 8 (2005)
Issue (Month): 2 (07)
Pages: 214-234

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Handle: RePEc:ect:emjrnl:v:8:y:2005:i:2:p:214-234

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Cited by:
  1. Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, EconWPA.
  2. Willie Lahari & Alfred A. Haug & Arlene Garces-Ozanne, 2011. "Estimating Quarterly Gdp Data For The South Pacific Island Nations," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 56(01), pages 97-112.
  3. Sieds, 2013. "Complete Volume LXVII n.2 2013," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 0(2), pages 1-197, April-Jun.
  4. John McDermott & Viv B. Hall, . "A quarterly Post-World War II Real GDP Series for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/12, Reserve Bank of New Zealand.
  5. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
  6. Moauro, Filippo, 2010. "A monthly indicator of employment in the euro area: real time analysis of indirect estimates," MPRA Paper 27797, University Library of Munich, Germany, revised 30 Dec 2010.
  7. Francisco de Castro & Francisco Martí & Antonio Montesinos & Javier J. Pérez & A. Jesús Sánchez-Fuentes, 2014. "Fiscal policies in Spain: Main stylises facts revisited," Banco de Espa�a Working Papers 1408, Banco de Espa�a.
  8. Teresa Leal & Diego Pedregal & Javier Pérez, 2011. "Short-term monitoring of the Spanish government balance," SERIEs, Spanish Economic Association, vol. 2(1), pages 97-119, March.
  9. Cecilia Frale & Libero Monteforte, 2011. "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Temi di discussione (Economic working papers) 788, Bank of Italy, Economic Research and International Relations Area.
  10. Pedregal, Diego J. & Pérez, Javier J., 2010. "Should quarterly government finance statistics be used for fiscal surveillance in Europe?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 794-807, October.
  11. Cecilia Frale, . "Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?," Working Papers wp2008-2, Department of the Treasury, Ministry of the Economy and of Finance.
  12. Yueqing Jia, 2011. "A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach," Working Papers 2011-006, The George Washington University, Department of Economics, Research Program on Forecasting.
  13. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, . "Survey Data as Coincident or Leading Indicators," Working Papers 3, Department of the Treasury, Ministry of the Economy and of Finance.
  14. Cecilia Frale, Serena Teobaldo, Marco Cacciotti, Alessandra Caretta, 2013. "A Quarterly Measure Of Potential Output In The New European Fiscal Framework," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 0(2), pages 181-197, April-Jun.
  15. Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, . "Estimations of the natural rate of interest in Colombia," Borradores de Economia 626, Banco de la Republica de Colombia.
  16. Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany.

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