IDEAS home Printed from https://ideas.repec.org/a/lde/journl/y2015i82p11-55.html
   My bibliography  Save this article

Temporal disaggregation: an alternative multivariate methodology

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/21972/18281
    Download Restriction: no
    File URL: https://libkey.io/10.17533/udea.le.n82a1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lde:journl:y:2015:i:82:p:11-55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Carlos Andrés Vasco Correa (email available below). General contact details of provider: https://edirc.repec.org/data/deantco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.