Temporal disaggregation: an alternative multivariate methodology

Jorge Luis Hurtado Guarín () and Luis Melo-Velandia
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Jorge Luis Hurtado Guarín: Banco de la República

Lecturas de Economía, 2015, issue 82, 11-55

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.

Keywords: Temporal disaggregation; temporal and contemporaneous aggregation constraints. (search for similar items in EconPapers)
JEL-codes: C32 C51 E01 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2015:i:82:p:11-55

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DOI: 10.17533/udea.le.n82a1

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