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Temporal disaggregation: an alternative multivariate methodology

Author

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  • Jorge Luis Hurtado Guarín

    (Banco de la República)

  • Luis Fernando Melo Velandia

    (Banco de la República)

Abstract

In this paper we propose a new extension of Di–Fonzo (1990)'s methodology for multivariate temporal disaggregation. We assume that the errors of the high–frequency series follow a VAR(1) model instead of a white noise process. Additionally, an extensive review of different univariate and multivariate disaggregation methods is presented. Finally, we carry out a multivariate application to obtain Colombia's monthly national accounts from quarterly data. The results obtained using the proposed methodology are similar to those with Di–Fonzo's method. However, our resulting series are less volatile.

Suggested Citation

  • Jorge Luis Hurtado Guarín & Luis Fernando Melo Velandia, 2015. "Temporal disaggregation: an alternative multivariate methodology," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 82, pages 11-55, Enero - J.
  • Handle: RePEc:lde:journl:y:2015:i:82:p:11-55
    DOI: 10.17533/udea.le.n82a1
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    File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/21972/18281
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    Keywords

    Temporal disaggregation; temporal and contemporaneous aggregation constraints.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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