Temporal disaggregation using the state space approach

In this paper, the stace space approach is used to perform temporal disaggregation. The investigation is performed in two steps. In the first step, the state space approach is tested on two study cases in order to investigate the accuracy of the temporal disaggregation. In the second step, the method is applied to the retail sales statistics in order to obtain estimates for the monthly turnover of the retail sector. The paper concludes that the combination of the state space approach and Denton’s adjustment method of monthly or quarterly series to annual totals provides a powerful tool to disaggregate annual data into higher frequency series.

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