This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Temporal disaggregation by state space methods: Dynamic regression methods revisited

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Tommaso Proietti

Additional information is available for the following registered author(s):

Abstract

The paper advocates the use of state space methods to deal with the problem of temporal disaggregation by dynamic regression models, which encompass the most popular techniques for the distribution of economic flow variables, such as Chow-Lin, Fernandez and Litterman. The state space methodology offers the generality that is required to address a variety of inferential issues that have not been dealt with previously. The paper contributes to the available literature in three ways: (i) it concentrates on the exact initialization of the different models, showing that this issue is of fundamental importance for the properties of the maximum likelihood estimates and for deriving encompassing autoregressive distributed lag models that nest exactly the traditional disaggregation models; (ii) it points out the role of diagnostics and revisions histories in judging the quality of the disaggregated estimates and (iii) it provides a thorough treatment of the Litterman model, explaining the difficulties commonly encountered in practice when estimating this model. Copyright Royal Economic Society 2006

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2006.00189.x
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

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

Volume (Year): 9 (2006)
Issue (Month): 3 (November)
Pages: 357-372
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ect:emjrnl:v:9:y:2006:i:3:p:357-372

Contact details of provider:
Web page: http://www.res.org.uk/
More information through EDIRC

Order Information:
Web: http://www.ectj.org

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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 372-75, November. [Downloadable!] (restricted)
  2. Robert B. Litterman, 1983. "A random walk, Markov model for the distribution of time series," Staff Report 84, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  3. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-35, November. [Downloadable!] (restricted)
    Other versions:
  4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  5. Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-63, September. [Downloadable!] (restricted)
  6. Andrew Harvey & Chia-Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal Of The Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309. [Downloadable!] (restricted)
  7. 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 471-76, August. [Downloadable!] (restricted)
  8. Tommaso Proietti, 2004. "On the Estimation of Nonlinearly Aggregated Mixed Models," Econometrics 0411012, EconWPA. [Downloadable!]
  9. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Tommaso Proietti & Filippo Moauro, 2004. "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics 0401003, EconWPA. [Downloadable!]
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Massimiliano Marcellino, 2005. "Pooling-based Data Interpolation and Backdating," Working Papers 299, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    Other versions:
  2. Emanuel Mönch & Harald Uhlig, 2003. "Towards a Monthly Business Cycle Chronology for the Euro Area," SFB 649 Discussion Papers SFB649DP2005-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Apr 2005. [Downloadable!]
    Other versions:
  3. Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gian Luigi & Proietti, Tommaso, 2008. "A Monthly Indicator of the Euro Area GDP," CEPR Discussion Papers 7007, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  4. 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. [Downloadable!]
  5. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS. [Downloadable!]
    Other versions:
  6. Viv Hall & John McDermott, 2007. "A Quarterly Post-World War II Real GDP Series for New Zealand," Working Papers 07_13, Motu Economic and Public Policy Research. [Downloadable!]
  7. Jens Hogrefe, 2008. "Forecasting data revisions of GDP: a mixed frequency approach," AStA Advances in Statistical Analysis, Springer, vol. 92(3), pages 271-296, August. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? There are NEP reports in over 80 fields that deliver new research to your email.

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.