I've done disaggregation for annual/quarterly, quarterly/monthly before, but never monthly/daily

is there a big demand for that, please?

Thanks,
Erin


Erin M. Hodgess, PhD
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgesse@uhd.edu



-----Original Message-----
From: r-sig-finance-bounces@stat.math.ethz.ch on behalf of John P. Burkett
Sent: Mon 7/27/2009 1:04 PM
To: r-sig-finance@stat.math.ethz.ch
Subject: [R-SIG-Finance] disaggregate from monthly to daily time series
 
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

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

phone (401) 874-9195

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