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

In TSdisaggregation: High-Dimensional Temporal Disaggregation

Function to do Chow-Lin temporal disaggregation from \insertCitechow1971best;textualTSdisaggregation and Litterman.

Description

Used in disaggregation.R to find estimates given the optimal rho parameter.

Usage

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

Arguments

Y	The low-frequency response series (n_l x 1 matrix).
X	The high-frequency indicator series (n x p matrix).
rho	The AR(1) residual parameter (strictly between -1 and 1).
aggMat	Aggregation matrix according to '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	TRUE to use litterman vcov. FALSE for Chow-Lin vcov. Default is FALSE.

Value

y Estimated high-frequency response series (n x 1 matrix).

betaHat Estimated coefficient vector (p x 1 matrix).

u_l Estimated aggregate residual series (n_l x 1 matrix).

References

\insertAllCited

TSdisaggregation documentation built on May 19, 2022, 1:06 a.m.