Temporal Disaggregation of Time Series

Sax, Christoph and Steiner, Peter (2013): Temporal Disaggregation of Time Series. Published in: The R Journal , Vol. 5, No. 2 (December 2013): pp. 80-87.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: temporal disaggregation, time series, Chow-Lin, Denton, Fernandez, Litterman
• Subjects: C - Mathematical and Quantitative Methods > C0 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65 - Miscellaneous Mathematical Tools; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software

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