Home > Research > Publications & Outputs > Disaggregating Time-Series with Many Indicators

Links

Text available via DOI:

View graph of relations

Disaggregating Time-Series with Many Indicators: An Overview of the DisaggregateTS Package

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
Close
<mark>Journal publication date</mark>27/06/2025
<mark>Journal</mark>The R Journal
Issue number4
Volume16
Number of pages12
Pages (from-to)62-73
Publication StatusPublished
<mark>Original language</mark>English

Abstract

Low-frequency time-series (e.g., quarterly data) are often treated as benchmarks for interpolating to higher frequencies, since they generally exhibit greater precision and accuracy in contrast to their high-frequency counterparts (e.g., monthly data) reported by governmental bodies. An array of regression-based methods have been proposed in the literature which aim to estimate a target high-frequency series using higher frequency indicators. However, in the era of big data and with the prevalence of large volumes of administrative data-sources there is a need to extend traditional methods to work in high-dimensional settings, i.e., where the number of indicators is similar or larger than the number of low-frequency samples. The package DisaggregateTS includes both classical regressions-based disaggregation methods alongside recent extensions to high-dimensional settings. This paper provides guidance on how to implement these methods via the package in R, and demonstrates their use in an application to disaggregating CO2 emissions.