A recursive ARIMA-based procedure for disaggregating a time series variable using concurrent data

摘要

A recursive procedure for temporally disaggregating a time series is proposed. In practice, it is superior to standard non-recursive procedures in several ways: (i) previously disaggregated data need not be modified, (ii) calculations become simpler and (iii) data storage requirements are minimized. The suggested procedure yields Best Linear Unbiased Estimates, given the historical record of previously disaggregated figures, concurrent data in the form of a preliminary series and an aggregated value for the current period. A test statistic is derived for validating the numerical results obtained in practice.