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Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts
Author(s) -
Bisio Laura,
Moauro Filippo
Publication year - 2018
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/stan.12156
Subject(s) - autoregressive model , econometrics , lag , distributed lag , dynamic factor , computer science , scale (ratio) , state space representation , economics , algorithm , geography , computer network , cartography
In this paper, we discuss the most recent developments in temporal disaggregation techniques carried out at the Istituto Nazionale di Statistica (ISTAT). They concern the extension from static to dynamic autoregressive distributed lag regressions and the adoption of the state‐space framework for the statistical treatment of temporal disaggregation. Beyond the development of a unified procedure for both static and dynamic methods from one side and the treatment of the logarithmic transformation from the other, we provide short guidelines for model selection. The inclusion of stochastic trends in the regressions is also discussed. We evaluate the new dynamic methods by implementing a large‐scale exercise using the ISTAT annual value added data jointly with quarterly industrial production over the 1995–2013 period. The main finding is that autoregressive distributed lag disaggregations reduce forecast errors in comparison to static variants, at a price of lower correlations with related high‐frequency indicators. Moreover, problematic outcomes are limited to few cases.

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