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Multivariate temporal disaggregation with cross-sectional constraints

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  • Tommaso Proietti

Abstract

Multivariate temporal disaggregation deals with the historical reconstruction and nowcasting of economic variables subject to temporal and contemporaneous aggregation constraints. The problem involves a system of time series that are related not only by a dynamic model but also by accounting constraints. The paper introduces two fundamental (and realistic) models that implement the multivariate best linear unbiased estimation approach that has potential application to the temporal disaggregation of the national accounts series. The multivariate regression model with random walk disturbances is most suitable to deal with the chained linked volumes (as the nature of the national accounts time series suggests); however, in this case the accounting constraints are not binding and the discrepancy has to be modeled by either a trend-stationary or an integrated process. The tiny, compared with other driving disturbances, size of the discrepancy prevents maximum-likelihood estimation to be carried out, and the parameters have to be estimated separately. The multivariate disaggregation with integrated random walk disturbances is suitable for the national accounts aggregates expressed at current prices, in which case the accounting constraints are binding.

Suggested Citation

  • Tommaso Proietti, 2011. "Multivariate temporal disaggregation with cross-sectional constraints," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1455-1466, June.
  • Handle: RePEc:taf:japsta:v:38:y:2011:i:7:p:1455-1466
    DOI: 10.1080/02664763.2010.505952
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    File URL: http://hdl.handle.net/10.1080/02664763.2010.505952
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    Cited by:

    1. Cuevas Ángel & Quilis Enrique M. & Espasa Antoni, 2015. "Quarterly Regional GDP Flash Estimates by Means of Benchmarking and Chain Linking," Journal of Official Statistics, De Gruyter Open, vol. 31(4), pages 627-647, December.
    2. Espasa, Antoni & Cuevas, Ángel & Quilis, Enrique M., 2011. "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS ws114130, Universidad Carlos III de Madrid. Departamento de Estadística.

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