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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Sparse temporal disaggregation
AU - Mosley, Luke
AU - Eckley, Idris
AU - Gibberd, Alex
PY - 2022/10/31
Y1 - 2022/10/31
N2 - 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.
AB - 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.
KW - temporal aggregation
KW - high-dimensional
KW - time-series
KW - economic statistics
KW - Gross domestic product
U2 - 10.1111/rssa.12952
DO - 10.1111/rssa.12952
M3 - Journal article
VL - 185
SP - 2203
EP - 2233
JO - Journal of the Royal Statistical Society: Series A Statistics in Society
JF - Journal of the Royal Statistical Society: Series A Statistics in Society
SN - 0964-1998
IS - 4
ER -