Temporal Disaggregation of Time Series Data: A Non-Parametric Approach

Abstract

Sometimes it is necessary to disaggregate a given economic time series to obtain values for shorter subperiods. For example, monthly values of GDP may be desired when only a sequence of quarterly data is available. Using non-parametric algorithm, we generalize an existing method so that it can be used to derive values for subperiods of any specified length which are consistent with available data for longer time periods.

Keywords: temporal disaggregation, non-parametric, algorithm, Gandolfo