temporaldisaggregation: Temporal disaggregation of a time series by regression...

In palatej/rjd3bench: Interface to 'JDemetra+ 3.0' Seasonal Adjustment Software

Temporal disaggregation of a time series by regression models.

Description

Perform temporal disaggregation of low frequency to high frequency time series by regression models. Models included are Chow-Lin, Fernandez, Litterman and some variants of those algorithms.

Usage

temporaldisaggregation(
  series,
  constant = TRUE,
  trend = FALSE,
  indicators = NULL,
  model = c("Ar1", "Rw", "RwAr1"),
  freq = 4,
  conversion = c("Sum", "Average", "Last", "First", "UserDefined"),
  conversion.obsposition = 1,
  rho = 0,
  rho.fixed = FALSE,
  rho.truncated = 0,
  zeroinitialization = FALSE,
  diffuse.algorithm = c("SqrtDiffuse", "Diffuse", "Augmented"),
  diffuse.regressors = FALSE
)

Arguments

series	The time series that will be disaggregated. It must be a ts object.
constant	Constant term (T/F). Only used with Ar1 model when zeroinitialization=F
trend	Linear trend (T/F)
indicators	High-frequency indicator(s) used in the temporal disaggregation. It must be a (list of) ts object(s).
model	Model of the error term (at the disaggregated level). "Ar1" = Chow-Lin, "Rw" = Fernandez, "RwAr1" = Litterman
freq	Annual frequency of the disaggregated variable. Used if no indicator is provided
conversion	Conversion mode (Usually "Sum" or "Average")
conversion.obsposition	Only used with "UserDefined" mode. Position of the observed indicator in the aggregated periods (for instance 7th month of the year)
rho	Only used with Ar1/RwAr1 models. (Initial) value of the parameter
rho.fixed	Fixed rho (T/F, F by default)
rho.truncated	Range for Rho evaluation (in [rho.truncated, 1[)
zeroinitialization	The initial values of an auto-regressive model are fixed to 0 (T/F, F by default)
diffuse.algorithm	Algorithm used for diffuse initialization. "SqrtDiffuse" by default
diffuse.regressors	Indicates if the coefficients of the regression model are diffuse (T) or fixed unknown (F, default)

Value

An object of class "JD3TempDisagg"

Examples

# retail data, chow-lin with monthly indicator
Y<-rjd3toolkit::aggregate(rjd3toolkit::retail$RetailSalesTotal, 1)
x<-rjd3toolkit::retail$FoodAndBeverageStores
td<-rjd3bench::temporaldisaggregation(Y, indicators=x)
y<-td$estimation$disagg

# qna data, fernandez with/without quarterly indicator
data("qna_data")
Y<-ts(qna_data$B1G_Y_data[,"B1G_FF"], frequency=1, start=c(2009,1))
x<-ts(qna_data$TURN_Q_data[,"TURN_INDEX_FF"], frequency=4, start=c(2009,1))
td1<-rjd3bench::temporaldisaggregation(Y, indicators=x, model = "Rw")
td2<-rjd3bench::temporaldisaggregation(Y, model = "Rw")
mod1<- td1$regression$model

palatej/rjd3bench documentation built on April 17, 2024, 12:12 a.m.