Multivariate temporal disaggregation with cross-sectional constraints

DOI10.1080/02664763.2010.505952zbMath1218.62054OpenAlexW2080801234MaRDI QIDQ3019490

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 estimationnational accountsKalman filter and smoother

Mathematics Subject Classification ID

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

Related Items (2)

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

Uses Software

• Ox

Cites Work

• The diffuse Kalman filter
• Temporal Disaggregation of Time Series: An ARIMA-Based Approach
• Temporal disaggregation by state space methods: Dynamic regression methods revisited
• Smoothing and Interpolation with the State-Space Model
• 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

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