| chowlin {TSdisaggregation} | R Documentation |
Function to do Chow-Lin temporal disaggregation from Chow and Lin (1971) 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
Chow GC, Lin A (1971). “Best linear unbiased interpolation, distribution, and extrapolation of time series by related series.” The review of Economics and Statistics, 372–375.