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Temporal disaggregation of economic time series: The view from the trenches

Enrique M. Quilis

Statistica Neerlandica, 2018, vol. 72, issue 4, 447-470

Abstract: We analyze temporal disaggregation from the point of view of practitioners working as producers of official statistics or as nowcasters. According to this view, applicability, computational feasibility, robustness, and ease of communication are key aspects of temporal disaggregation in addition to statistical soundness and flexibility. We review the models used as a workhorse of this approach, exploring in detail their similitudes and differences. All the models and techniques are examined through the lens of a complete set of MATLAB functions that have been developed for their use in a production model. A real‐time database comprising the Great Recession period is used to evaluate the alternative models and attribute the revisions to changes in the benchmark, seasonal adjustment, and extrapolations.

Date: 2018
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Handle: RePEc:bla:stanee:v:72:y:2018:i:4:p:447-470