chowlin_likelihood {TSdisaggregation}

Likelihood function from Chow-Lin or Litterman temporal disaggregation.

Description

Used in disaggregation.R to find estimates of the optimal rho parameter.

Usage

chowlin_likelihood(Y, X, vcov)

Arguments

Y

The low-frequency response series (n_l x 1 matrix).

X

The aggregated high-frequency indicator series (n_l x p matrix).

vcov

Aggregated variance-covariance matrix of Chow-Lin or Litterman residuals.

References

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