[R-SIG-Finance] disaggregate from monthly to daily time series

John P. Burkett burkett at uri.edu
Mon Jul 27 20:04:34 CEST 2009

I would like to disaggregate a monthly average (Consumer Price Index) to 
create a daily time series.  The new daily series should be smooth 
(i.e.--exhibit no unusual jump from the last day of a month to the first 
day of the next month) and be consistent with the original monthly data 
(i.e.--the average value of the new series for the days of a month 
should equal the given value for that month).

If all months had 30 days and I were using S+Finmetrics, I would try to 
create the daily series with a command such as
disaggregate(CPI, 30, method="spline", how="mean")
where CPI is the monthly data on the Consumer Price Index.
The fact that months are of different lengths complicates matters.

Suggestions for how to accomplish the disaggregation in R would be 
greatly appreciated.


John P. Burkett
Department of Economics
University of Rhode Island
Kingston, RI 02881-0808

phone (401) 874-9195

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