Disaggregating Time-Series with Many Indicators: An Overview of the DisaggregateTS Package

Abstract

Low-frequency time-series (e.g., quarterly data) are often treated as benchmarks for interpolating to higher frequencies, since they generally exhibit greater precision and accuracy in contrast to their high-frequency counterparts (e.g., monthly data) reported by governmental bodies. An array of regression-based methods have been proposed in the literature which aim to estimate a target high-frequency series using higher frequency indicators. However, in the era of big data and with the prevalence of large volumes of administrative data-sources there is a need to extend traditional methods to work in high-dimensional settings, i.e., where the number of indicators is similar or larger than the number of low-frequency samples. The package DisaggregateTS includes both classical regressions-based disaggregation methods alongside recent extensions to high-dimensional settings. This paper provides guidance on how to implement these methods via the package in R, and demonstrates their use in an application to disaggregating CO2 emissions