Statistica Neerlandica

Temporal disaggregation of economic time series: The view from the trenches

Journal Article

We analyze temporal disaggregation from the point of view of practitioners working as producers of official statistics or as nowcasters. According to this view, applicability, computational feasibility, robustness, and ease of communication are key aspects of temporal disaggregation in addition to statistical soundness and flexibility. We review the models used as a workhorse of this approach, exploring in detail their similitudes and differences. All the models and techniques are examined through the lens of a complete set of MATLAB functions that have been developed for their use in a production model. A real‐time database comprising the Great Recession period is used to evaluate the alternative models and attribute the revisions to changes in the benchmark, seasonal adjustment, and extrapolations.

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Published features on are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.