Temporal disaggregation using multivariate structural time series models
β Scribed by Filippo Moauro; Giovanni Savio
- Book ID
- 110880006
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 155 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1368-4221
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We propose a procedure generalizing the Wei and Stram univariate disaggregation process for the disaggregation of stationary bivariate time series. We discuss the autocovariance and cross-covariance functions needed to produce the disaggregate series. We show how to derive the order of the bivariate
## Abstract This paper presents a methodology for modelling and forecasting multivariate time series with linear restrictions using the constrained structural stateβspace framework. The model has natural applications to forecasting time series of macroeconomic/financial identities and accounts. The