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Related-variables selection in temporal disaggregation

✍ Scribed by Kosei Fukuda


Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
131 KB
Volume
28
Category
Article
ISSN
0277-6693

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✦ Synopsis


Abstract

Two related‐variables selection methods for temporal disaggregation are proposed. In the first method, the hypothesis tests for a common feature (cointegration or serial correlation) are first performed. If there is a common feature between observed aggregated series and related variables, the conventional Chow–Lin procedure is applied. In the second method, alternative Chow–Lin disaggregating models with and without related variables are first estimated and the corresponding values of the Bayesian information criterion (BIC) are stored. It is determined on the basis of the selected model whether related variables should be included in the Chow–Lin model. The efficacy of these methods is examined via simulations and empirical applications. Copyright © 2008 John Wiley & Sons, Ltd.


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