Desagregación temporal
Una metodología multivariada alternativa
Bibliographic Data
| ID | 11149529 |
|---|---|
| Authors | Jorge Hurtado, Jorge Luis Hurtado (Banco de la República Colombia, corresponding author), Luis Fernando Melo‐velandia (0000-0003-1524-6399, Banco de la República Colombia), Luis Melo |
| Year | 2015 |
| Issue | 82 |
| Publication date | 2015-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Lecturas de Economía (JOURNAL) |
| Journal identifiers | ISSN: 0120-2596 • E-ISSN: 2323-0622 |
| Publisher | Universidad de Antioquia (PUBLISHER • CO) |
| DOI | 10.17533/udea.le.n82a1 |
| OpenAlex | W2145677591 |
| Language | ES |
| References cited | 5 |
In this paper we propose a new extension of Di-Fonzo (1990)’s methodology for multivariate temporal disaggregation. We assume that the errors of the high-frequency series follow a VAR(1) model instead of a white noise process. Additionally, an extensive review of different univariate and multivariate disaggregation methods is presented. Finally, we carry out a multivariate application to obtain Colombia’s monthly national accounts from quarterly data. The results obtained using the proposed methodology are similar to those with Di-Fonzo’s method. However, our resulting series are less volatile
Econometrics · Multivariate analysis · Multivariate statistics · Series (stratigraphy · Statistics · Univariate · White noise · Computer Science · Economics of Agriculture and Food Markets · Geology · Mathematics · Monetary Policy and Economic Impact
A Random Walk, Markov Model for the Distribution of Time Series
The Estimation of M Disaggregate Time Series when Contemporaneous and Temporal Aggregates are Known
A Note on the Estimation of Disaggregate Time Series When The Aggregate is Known
A Methodological Note on the Estimation of Time Series
On Distributing Quarterly National Growth among Regions
| Citation velocity | historical |
|---|---|
| Highly cited | No |