Name

denton1 — Multivariate temporal disaggregation with transversal constraint

CALLING SEQUENCE

[y,res]=denton1(Y,x,z,d,ta,s)

PARAMETERS

Input

• nameY = a (NxM) matrix, a list of M vectors or ts or a string vector representing names such objects

    ---> M series of low frequency data with N observations

• namex = a (nxM) matrix, a list of M vectors or ts or a string vector representing names such objects

     ---> M series of high frequency data with n observations

• namez = a (nx1) vector or a ts

     ---> high frequency transversal constraint

• d = objective function to be minimized: volatility of

  - d=0 ---> levels

  - d=1 ---> first differences

  - d=2 ---> second differences

• ta = type of disaggregation

  - ta=-1 ---> sum (flow)

  - ta=0 ---> average (index)

  - ta=i ---> i th element (stock) ---> interpolation

• s = number of high frequency data points for each low frequency data points

  - s= 3 ---> quarterly to monthly - ta=-1 ---> sum (flow)

  - s= 4 ---> annual to quarterly

  - s=12 ---> annual to monthly

Output

• y = High frequency estimate

• res = a results tlist with:

  - res('meth') = 'Multivariate Denton'

  - res('nobs_lf') = nobs. of low frequency data

  - res('nobs_hf') = nobs. of high-frequency data

  - res('ta') = type of disaggregation

  - res('s') = frequency conversion between low and high freq.

  - res('diff') = Degree of differencing

  - res('y') = high frequency estimate

  - res('y_lf') = low frequency data

  - res('indicator') = high frequency indicators

  - res('tanvsersal') = data for the transversal constraint

  - res('namey') = Name of the high frequency aggregate

  - res('namex') = Name of the low frequency indicators

  - res('namez') = Name of the high frequency transversal constraint

DESCRIPTION

Temporal disaggregation using the Denton method of multivariate temporal disaggregation with transversal constraint (low level function with matrices only).

EXAMPLE

[y,res]=denton1(Y,x,z,1,0,4);
 
// Provides monthly disaggregation of a matrix Y with matrix x, transversality constraint represented by matrix z and mimization of the volatility of the first differences. Annual series are built by averaging quarterly series. 
               

AUTHOR

Eric Dubois 2005