Publikation: Forecasting contemporaneous aggregates with stochastic aggregation weights
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2013
Autor:innen
Lütkepohl, Helmut
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Forecasting and Structural Analysis with Contemporaneous Aggregates of Time Series Data
Open Access-Veröffentlichung
Open Access Green
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Core Facility der Universität Konstanz
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Published
Erschienen in
International Journal of Forecasting. 2013, 29(1), pp. 60-68. ISSN 0169-2070. Available under: doi: 10.1016/j.ijforecast.2012.05.007
Zusammenfassung
Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for such variables, including univariate forecasts of the aggregate, a multivariate forecast of the aggregate that uses information from the disaggregated components, a forecast which aggregates a multivariate forecast of the disaggregate components and the aggregation weights, and a forecast which aggregates univariate forecasts of individual disaggregate components and the aggregation weights. In empirical illustrations based on aggregate GDP and money stock series, we find forecast mean squared error reductions when information in the stochastic aggregation weights is used.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Aggregation, Autoregressive process, Mean squared error
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ISO 690
BRÜGGEMANN, Ralf, Helmut LÜTKEPOHL, 2013. Forecasting contemporaneous aggregates with stochastic aggregation weights. In: International Journal of Forecasting. 2013, 29(1), pp. 60-68. ISSN 0169-2070. Available under: doi: 10.1016/j.ijforecast.2012.05.007BibTex
@article{Bruggemann2013Forec-22186,
year={2013},
doi={10.1016/j.ijforecast.2012.05.007},
title={Forecasting contemporaneous aggregates with stochastic aggregation weights},
number={1},
volume={29},
issn={0169-2070},
journal={International Journal of Forecasting},
pages={60--68},
author={Brüggemann, Ralf and Lütkepohl, Helmut}
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