Multivariate temporal disaggregation with transversal constraint
[y,res]=denton(namey,namex,namez,d,arg1,...,argn)
* nameY = a (N x M) 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 (n x M) 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 (n x 1) 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
* argi = an argument which can be
- the string 'divfq=n' where n is the number of high frequency data points for each low frequency data points
- the string 'ta=n' where n is the aggregation type:
. n=-1 (default) ---> sum (flow)
. n=0 ---> average (index)
. n=i ---> i th element (stock) ---> interpolation
* y = High frequency estimate
* res = a results tlist with:
- res('meth') = 'Multivariate Denton'
- res('ta') = type of disaggregation
- res('nobs_lf') = nobs. of low frequency data
- res('nobs_hf') = nobs. of high-frequency data
- 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