Definition: Multivariate approaches

Category: Temporal disaggregation

Multiple low and high frequency indicators are taken simultaneously in a mixed-frequency multivariate model subject to temporal aggregation constraints. Several forms can be considered: vector autoregressions and error correction forms, structural time series and dynamic factor models, which can all be fitted with state space methods. http://ec.europa.eu/eurostat/product?code=KS-06-18-355&mode=view