Sparse temporal disaggregation

Mosley, Luke and Eckley, Idris and Gibberd, Alex (2022) Sparse temporal disaggregation. Journal of the Royal Statistical Society: Series A Statistics in Society. ISSN 0964-1998

Full text not available from this repository.

Abstract

Temporal disaggregation is a method commonly used in official statistics to enable high-frequency estimates of key economic indicators, such as gross domestic product (GDP). Traditionally, such methods have relied on only a couple of high-frequency indicator series to produce estimates. However, the prevalence of large, and increasing, volumes of administrative and alternative data-sources motivates the need for such methods to be adapted for high-dimensional settings. In this article, we propose a novel sparse temporal-disaggregation procedure and contrast this with the classical Chow–Lin method. We demonstrate the performance of our proposed method through simulation study, highlighting various advantages realised. We also explore its application to disaggregation of UK GDP data, demonstrating the method's ability to operate when the number of potential indicators is greater than the number of low-frequency observations.

Item Type:
Journal Article
Journal or Publication Title:
Journal of the Royal Statistical Society: Series A Statistics in Society
Uncontrolled Keywords:
Data Sharing Template/yes
Subjects:
ID Code:
177778
Deposited By:
Deposited On:
02 Nov 2022 09:40
Refereed?:
Yes
Published?:
Published
Last Modified:
22 Nov 2022 11:58