Bootstrap Prediction Intervals of Temporal Disaggregation

Bu Hyoung Lee
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Bu Hyoung Lee: Department of Mathematics and Statistics, Loyola University Maryland, 4501 N. Charles Street, Baltimore, MD 21210, USA

Stats, 2022, vol. 5, issue 1, 1-13

Abstract: In this article, we propose an interval estimation method to trace an unknown disaggregate series within certain bandwidths. First, we consider two model-based disaggregation methods called the GLS disaggregation and the ARIMA disaggregation. Then, we develop iterative steps to construct AR-sieve bootstrap prediction intervals for model-based temporal disaggregation. As an illustration, we analyze the quarterly total balances of U.S. international trade in goods and services between the first quarter of 1992 and the fourth quarter of 2020.

Keywords: temporal disaggregation; temporal aggregation; bootstrap prediction intervals; ARIMA models; international trade balances (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jstats:v:5:y:2022:i:1:p:13-202:d:752373

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