disagmethod (version 0.1.0)

upper3: Upper Bound Disaggregation Method Function

Description

This uses the Upper Bound method for temporal disaggregation of time series

Usage

upper3(x, m = 1)

Value

bigy

order of the disaggregate model

fin1

final disaggregate series

Arguments

x

Aggregate Series; must be a ts, xts, or zoo object

m

order of disaggregation; 3, 4, 12

Author

Erin Hodgess

Details

This function uses the upper bound method found in Hodgess and Wei (1996, "Temporal Disaggregation of Time Series"). We fit an aggregate (p,d,q) model, and produce a disaggregate model of (p,d,(p+d)). We generate the disaggregate series based on the disaggregate model.

References

Hodgess and Wei (1996, "Temporal Disaggregation of Time Series"), in M. Ahsanullah and D. Bhoj (Eds), "Applied Statistical Science I".

Examples

library(tswge)
data(tx.unemp.adj)
#Monthly seasonally adjusted Texas unemployment data
#Create a quarterly sum
my.un.q <- aggregate(tx.unemp.adj,nfreq=4)
e.upp <- upper3(my.un.q,3)
sum(e.upp$fin1[1:3])
my.un.q[1]