Temporal disaggregation: an alternative multivariate methodology
DOI:
https://doi.org/10.17533/udea.le.n82a1Keywords:
Temporal disaggregation, temporal and contemporaneous aggregation constraintsAbstract
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.
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