Multivariate temporal disaggregation with cross-sectional constraints

DOI10.1080/02664763.2010.505952MaRDI QIDQ3019490zbMATH OpenOpenAlexFDO

Authors Tommaso Proietti

Publication date 28 July 2011

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2010.505952

zbMATH Keywords

best linear unbiased estimationKalman filter and smoothernational accounts

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

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Cites work

• A METHODOLOGICAL NOTE ON THE DISAGGREGATION OF TIME SERIES TOTALS
• Adjustment of Monthly or Quarterly Series to Annual Totals: An Approach Based on Quadratic Minimization
• Smoothing and Interpolation with the State-Space Model
• Temporal disaggregation by state space methods: Dynamic regression methods revisited
• Temporal Disaggregation of Time Series: An ARIMA-Based Approach
• The diffuse Kalman filter

Cited in

(9)

• Temporal and contemporaneous disaggregation of multiple economic time series
• Nowcasting from disaggregates in the face of location shifts
• Temporal disaggregation by state space methods: Dynamic regression methods revisited
• A Polynomial Method for Temporal Disaggregation of Multivariate Time Series
• scientific article; zbMATH DE number 5310519 (Why is no real title available?)
• scientific article; zbMATH DE number 1398572 (Why is no real title available?)
• Temporal disaggregation using multivariate structural time series models
• Temporal disaggregation of economic time series: The view from the trenches
• Retropolating some relevant series of Mexico's System of National Accounts at constant prices: The case of Mexico City's GDP

Describes a project that uses

Uses Software

• Ox

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