Temporal disaggregation using multivariate structural time series models

DOI10.1111/j.1368-423X.2005.00161.xzbMath1095.91047OpenAlexW3123816716MaRDI QIDQ5703227

Filippo Moauro, Giovanni Savio

Publication date: 8 November 2005

Published in: The 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

Kalman filtertemporal disaggregationmultivariate structural time series modelscommon structural components

Mathematics Subject Classification ID

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

Related Items (7)

Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints ⋮ THE NEW ZEALAND BUSINESS CYCLE ⋮ Reference Priors for Matrix-Variate Dynamic Linear Models ⋮ Fast same-step forecast in SUTSE model and its theoretical properties ⋮ Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts ⋮ A new state-space methodology to disaggregate multivariate time series ⋮ Temporal disaggregation by state space methods: Dynamic regression methods revisited

Uses Software

• Ox
• SsfPack

Cites Work

• 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
• Aggregation and Disaggregation of Structural Time Series Models

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