chowlin {DisaggregateTS}R Documentation

Function to perform Chow-Lin temporal disaggregation from Chow and Lin (1971) and its special case counterpart, Litterman Litterman (1983).

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:

References

Chow GC, Lin A (1971). “Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series.” The review of Economics and Statistics, 53(4), 372–375.

Litterman RB (1983). “A random walk, Markov model for the distribution of time series.” Journal of Business & Economic Statistics, 1(2), 169–173.


[Package DisaggregateTS version 3.0.1 Index]