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denton1

Multivariate temporal disaggregation with transversal constraint

CALLING SEQUENCE

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

PARAMETERS

Input

* 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

* 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

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