chowlin: Function to perform Chow-Lin temporal disaggregation from...

In DisaggregateTS: High-Dimensional Temporal Disaggregation

Function to perform Chow-Lin temporal disaggregation from \insertCitechow1971best;textualDisaggregateTS and its special case counterpart, Litterman \insertCitelitterman1983random;textualDisaggregateTS.

Description

Used in disaggregate to find estimates given the optimal rho parameter.

Usage

chowlin(Y, X, rho, aggMat = "sum", aggRatio = 4, litterman = FALSE)

Arguments

Y	The low-frequency response series (a n_l \times 1 matrix).
X	The high-frequency indicator series (a n \times p matrix).
rho	The AR(1) residual parameter. Must be strictly between -1 and 1.
aggMat	Aggregation matrix method: 'first', 'sum', 'average', 'last'. Default is 'sum'.
aggRatio	Aggregation ratio, e.g. 4 for annual-to-quarterly, 3 for quarterly-to-monthly. Default is 4.
litterman	Boolean. If TRUE, use Litterman variance-covariance method, otherwise use Chow-Lin. Default is FALSE.

Value

A list containing the following elements:

• y: Estimated high-frequency response series (an n \times 1 matrix).

• betaHat: Estimated coefficient vector (a p \times 1 matrix).

• u_l: Estimated aggregate residual series (an n_l \times 1 matrix).

References

\insertAllCited

DisaggregateTS documentation built on Oct. 31, 2024, 5:09 p.m.