Bootstrap Prediction Intervals of Temporal Disaggregation

Abstract

In this article, we propose an interval estimation method to trace an unknown disaggregate series within certain bandwidths. First, we consider two model-based disaggregation methods called the GLS disaggregation and the ARIMA disaggregation. Then, we develop iterative steps to construct AR-sieve bootstrap prediction intervals for model-based temporal disaggregation. As an illustration, we analyze the quarterly total balances of U.S. international trade in goods and services between the first quarter of 1992 and the fourth quarter of 2020.

Keywords

• temporal disaggregation
• temporal aggregation
• bootstrap prediction intervals
• ARIMA models
• international trade balances