Newbie here to forecasting and I have a very basic question. I have 2 distinct time-series data.

  • Time Series A is Weekly (High frequency)
  • Time Series B is Monthly (Low frequency)

I need to forecast A using B.

I looked at Armesto & colleagues' paper on forecasting with mixed frequencies and am also looking at the midasr user guide. Both talk about forecasting a low frequency variable with a high frequency one.

But can the same approach be used for forecasting weekly data using monthly time-series data? Unfortunately, the data that is available to me is in that format.

From what I understood, I'm pretty sure it can be done, but was hoping someone can confirm. Also, is there anything major I need to watch out for while running this forecast?


There are two quick and dirty solutions. First would be to disaggregate series B to weekly values (R package tempdisagg is great for that) and then do a usual model. Second aggregate series A to monthly frequency, do a forecast and then use disaggregation on the forecast.

The more theoretical approach would be casting problem to a state space model. There are a lot of literature on state space model approach when the dependent variable is observed at lower frequency. It usually assumes that the low frequency variable is really a high frequency variable observed at low frequency periods. You can make the same assumption and then reverse the methodology. Unfortunately I have not seen something similar being done, but I did not look hard enough.

Concerning midasr, I can say that it was designed to work when the dependent variable is observed at the lowest frequency. The reverse situation was not seriously considered.

  • $\begingroup$ Thank you very much. I think this will help. The High Frequency data that I am dealing with is much more varied than I had anticipated. So, yes, the temporal disaggregation will definitely help. Regards, simak $\endgroup$
    – BRZ
    Feb 14 '14 at 7:35

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.