Temporal Disaggregation of Time Series: An ARIMA-Based Approach
针对经济时间序列只有汇总数据的问题，提出一种基于ARIMA模型的最优分解方法，通过调整初步估计满足汇总约束，并给出检验统计量。
Summary Many economic time series are only available in temporally aggregated form. When the analysis requires disaggregated data, the analyst faces the problem of deriving these data in the most reasonable way. In this paper a data-based method is developed which produces an optimal estimator of the disaggregated series. The method requires a preliminary estimate of the series, which is adjusted to fulfil the restrictions imposed by the aggregated data. Empirical selection of the preliminary estimate is discussed and a statistic is developed for testing its adequacy. Some comparisons with other methods, as well as numerical illustrations, are presented.