Temporal disaggregation & interpolation of a time series with ADL models

Temporal disaggregation & interpolation of a time series with ADL models

Usage

adl_disaggregation(
  series,
  constant = TRUE,
  trend = FALSE,
  indicators = NULL,
  conversion = c("Sum", "Average", "Last", "First", "UserDefined"),
  conversion.obsposition = 1L,
  phi = 0,
  phi.fixed = FALSE,
  phi.truncated = 0,
  xar = c("FREE", "SAME", "NONE")
)

Arguments

xar

Examples

# qna data, fernandez with/without quarterly indicator
data("qna_data")
Y <- ts(qna_data$B1G_Y_data[,"B1G_FF"], frequency = 1, start = c(2009,1))
x <- ts(qna_data$TURN_Q_data[,"TURN_INDEX_FF"], frequency = 4, start = c(2009,1))
td1 <- adl_disaggregation(Y, indicators = x, xar = "FREE")
td2 <- adl_disaggregation(Y, indicators = x, xar = "SAME")