Casals Carro, José and Jerez Méndez, Miguel and Sotoca López, Sonia (2006) Modelling an forecasting time series sampled at different frequencies. [Working Paper or Technical Report]

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Official URL: http://eprints.ucm.es/7911/
Abstract
This paper discusses how to specify an observable highfrequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic dynamic components remain unchanged but some of them, mainly those related to the seasonal structure, become unobservable. Building on these results, we propose a structured specification method built on the idea that the models relating the variables in high and low sampling frequencies should be mutually consistent. After specifying a consistent and observable highfrequency model, standard statespace techniques provide an adequate framework for estimation, diagnostic checking, data interpolation and forecasting. Our method has three main uses. First, it is useful to disaggregate a vector of lowfrequency time series into highfrequency estimates coherent with both, the sample information and its statistical properties. Second, it may improve forecasting of the lowfrequency variables, as the forecasts conditional to highfrequency indicators have in general smaller error variances than those derived from the corresponding lowfrequency values. Third, the resulting forecasts can be updated as new highfrequency values become available, thus providing an effective tool to assess the effect of new information over medium term expectations. An example using national accounting data illustrates the practical application of this method.
Item Type:  Working Paper or Technical Report 

Uncontrolled Keywords:  Statespace models, Kalman filter, Temporal disaggregation, Observability, Seasonality 
Subjects:  Social sciences > Economics > Econometrics 
Series Name:  Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) 
Volume:  2006 
Number:  0603 
ID Code:  7911 
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Deposited On:  20 May 2008 
Last Modified:  06 Feb 2014 07:56 
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