Temporal disaggregation by state space methods: Dynamic regression methods revisited

DOI10.1111/J.1368-423X.2006.00189.XMaRDI QIDQ3422389zbMATH OpenFDO

Authors Tommaso Proietti

Publication date 13 February 2007

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2006.00189.X

zbMATH Keywords

Autoregressive distributed lag modelsKalman filter and smootherMarginal likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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Cites work

• Adjustment of Monthly or Quarterly Series to Annual Totals: An Approach Based on Quadratic Minimization
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
• Smoothing and Interpolation with the State-Space Model
• Temporal disaggregation using multivariate structural time series models
• Time series analysis by state space methods

Cited in

(18)

• The Chow-Lin method extended to dynamic models with autocorrelated residuals
• Chow-Lin \(\times N\): how adding a panel dimension can improve accuracy
• Forecasting data revisions of GDP: a mixed frequency approach
• Estimation of common factors under cross-sectional and temporal aggregation constraints
• Multivariate temporal disaggregation with cross-sectional constraints
• A new state-space methodology to disaggregate multivariate time series
• THE NEW ZEALAND BUSINESS CYCLE
• Monthly employment indicators of the euro area and larger member states: real-time analysis of indirect estimates
• scientific article; zbMATH DE number 1398572 (Why is no real title available?)
• Pooling‐Based Data Interpolation and Backdating
• Temporal disaggregation using multivariate structural time series models
• A state space model for reducing the uncertainty associated with preliminary vintages of data with an application to aggregate consumption
• Temporal disaggregation of economic time series: The view from the trenches
• Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts
• Constructing high frequency economic indicators by imputation
• Sparse temporal disaggregation
• Nowcasting monthly GDP with big data: a model averaging approach
• Towards the balancing of Italian quarterly national accounts

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Uses Software

• Ox

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