chowlin_likelihood function

Likelihood function from Chow-Lin or Litterman temporal disaggregation.

Used in disaggregation.R to find estimates of the optimal rho parameter.

chowlin_likelihood(Y, X, vcov)

Arguments

• Y: The low-frequency response series (n_l x 1 matrix).
• X: The aggregated high-frequency indicator series (n_l x p matrix).
• vcov: Aggregated variance-covariance matrix of Chow-Lin or Litterman residuals.

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)