Thanks a lot for the comprehensive response.
This is super helpful.
tsdisagg is a great reference.
I am actually trying to do something that has a layer of complexity over this. A hierarchical model that incorporates time series disaggregation.
As an example, consider that you have a hierarchical time series structure. Specifically, say you have energy demand on a monthly level at the state and county level.
You want to estimate daily energy demand per county and for the entire state. The catch is that you have high frequency indicators only for a subset of counties.
My current plan is to extend the approach you presented into a hiearchical framework.