Autoregressive Approaches to Disaggregation of Time Series Data

Kalman J. Cohen, Wolfgang Müller and Manfred W. Padberg

Journal of the Royal Statistical Society Series C, 1971, vol. 20, issue 2, 119-129

Abstract: It is sometimes necessary to disaggregate (“interpolate”) a given economic time series to obtain values for shorter subperiods. For example, monthly values of GNP may be desired when only a sequence of quarterly data is available. We generalize a previous method so that it can be used to derive values for subperiods of any specified length which are consistent with available data for longer time periods. In addition to the theoretical development we discuss practical considerations for computational implementation.

Date: 1971
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