temporaldisaggregationI: Temporal disaggregation using the model: x(t) = a + b y(t),...

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

Temporal disaggregation using the model: x(t) = a + b y(t), where x(t) is the indicator, y(t) is the unknown target series, with low-frequency constraints on y.

Description

Temporal disaggregation using the model: x(t) = a + b y(t), where x(t) is the indicator, y(t) is the unknown target series, with low-frequency constraints on y.

Usage

temporaldisaggregationI(
  series,
  indicator,
  conversion = c("Sum", "Average", "Last", "First", "UserDefined"),
  conversion.obsposition = 1,
  rho = 0,
  rho.fixed = FALSE,
  rho.truncated = 0
)

Arguments

series	The time series that will be disaggregated. It must be a ts object.
indicator	High-frequency indicator used in the temporal disaggregation. It must be a ts object.
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[)

Value

An object of class "JD3TempDisaggI"

Examples

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

# qna data, quarterly indicator
data("qna_data")
Y<-ts(qna_data$B1G_Y_data[,"B1G_CE"], frequency=1, start=c(2009,1))
x<-ts(qna_data$TURN_Q_data[,"TURN_INDEX_CE"], frequency=4, start=c(2009,1))
td<-rjd3bench::temporaldisaggregationI(Y, indicator=x)
a<-td$regression$a
b<-td$regression$b

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