Temporal disaggregation using multivariate structural time series models

DOI10.1111/J.1368-423X.2005.00161.XMaRDI QIDQ5703227zbMATH OpenOpenAlexFDO

Authors Filippo Moauro, Giovanni Savio

Publication date 8 November 2005

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2005.00161.x

zbMATH Keywords

common structural componentsKalman filtermultivariate structural time series modelstemporal disaggregation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• Aggregation and Disaggregation of Structural Time Series Models
• Fast filtering and smoothing for multivariate state space models
• Filtering and smoothing of state vector for diffuse state-space models
• Statistical algorithms for models in state space using SsfPack 2.2

Cited in

(22)

• The Chow-Lin method extended to dynamic models with autocorrelated residuals
• Constrained retropolation of high-frequency data using related series; a simple dynamic model approach
• Temporal and contemporaneous disaggregation of multiple economic time series
• 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
• Temporal Disaggregation of Time Series: An ARIMA-Based Approach
• scientific article; zbMATH DE number 7219002 (Why is no real title available?)
• Multivariate approaches for aggregate time series
• 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 4159921 (Why is no real title available?)
• Reference Priors for Matrix-Variate Dynamic Linear Models
• A Benchmarking Approach to Temporal Disaggregation of Economic Time Series by Related Series
• scientific article; zbMATH DE number 1222369 (Why is no real title available?)
• scientific article; zbMATH DE number 1327257 (Why is no real title available?)
• Monthly employment indicators of the euro area and larger member states: real-time analysis of indirect estimates
• Temporal disaggregation and restricted forecasting of multiple population time series
• Fast same-step forecast in SUTSE model and its theoretical properties
• Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts
• Nowcasting monthly GDP with big data: a model averaging approach

Describes a project that uses

Uses Software

• Ox
• SsfPack

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