chowlin {DisaggregateTS} | R Documentation |
Used in disaggregate
to find estimates given the optimal rho
parameter.
chowlin(Y, X, rho, aggMat = "sum", aggRatio = 4, litterman = FALSE)
Y |
The low-frequency response series (a |
X |
The high-frequency indicator series (a |
rho |
The AR(1) residual parameter. Must be strictly between |
aggMat |
Aggregation matrix method: 'first', 'sum', 'average', 'last'. Default is 'sum'. |
aggRatio |
Aggregation ratio, e.g. 4 for annual-to-quarterly, 3 for quarterly-to-monthly. Default is 4. |
litterman |
Boolean. If TRUE, use Litterman variance-covariance method, otherwise use Chow-Lin. Default is FALSE. |
A list containing the following elements:
y
: Estimated high-frequency response series (an n \times 1
matrix).
betaHat
: Estimated coefficient vector (a p \times 1
matrix).
u_l
: Estimated aggregate residual series (an n_l \times 1
matrix).
Chow GC, Lin A (1971).
“Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series.”
The review of Economics and Statistics, 53(4), 372–375.
Litterman RB (1983).
“A random walk, Markov model for the distribution of time series.”
Journal of Business & Economic Statistics, 1(2), 169–173.