Temporal Disaggregation of Time Series

Christoph Sax and Peter Steiner

MPRA Paper from University Library of Munich, Germany

Abstract: Temporal disaggregation methods are used to disaggregate low frequency time series to higher frequency series, where either the sum, the average, the first or the last value of the resulting high frequency series is consistent with the low frequency series. Temporal disaggregation can be performed with or without one or more high frequency indicator series. The package tempdisagg is a collection of several methods for temporal disaggregation.

Keywords: temporal disaggregation; time series; Chow-Lin; Denton; Fernandez; Litterman (search for similar items in EconPapers)
JEL-codes: C0 C13 C65 C87 (search for similar items in EconPapers)
Date: 2013-12
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Citations: View citations in EconPapers (51)

Published in The R Journal 2.5(2013): pp. 80-87

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:53389

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