M. Marcellino, Temporal disaggregation, missing observations, outliers, and forecasting: A unifying non-model-based procedure, ADV E, 13, 1998, pp. 181-202
We suggest a simple non-model-based procedure to recover a time series from
its temporally aggregated realizations. If additional assumptions on the u
nderlying process are introduced, it is shown that the procedure is related
to many of the former proposals in the literature. It can also be easily m
odified to deal with the estimation of missing observations and outliers, a
nd with forecasting. Finally, some important identification issues are disc
ussed.