Abstract

HURTADO, Jorge  and  MELO, Luis. Temporal disaggregation: an alternative multivariate methodology. Lect. Econ. [online]. 2015, n.82, pp.11-55. ISSN 0120-2596.

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.

Keywords : Temporal disaggregation; temporal and contemporaneous aggregation constraints.

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