Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates

Zeng, Jing

Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates

Dateien

Zeng_0-319645.pdfGröße: 896.94 KBDownloads: 173

Datum

2015

Projekt

Forecasting and Structural Analysis with Contemporaneous Aggregates of Time Series Data

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

European Monetary Union (EMU) member countries' forecasts are often combined to obtain the forecasts of the Euro area macroeconomic aggregate variables. The aggregation weights which are used to produce the aggregates are often considered as combination weights. This paper investigates whether using different combination weights instead of the usual aggregation weights can help to provide more accurate forecasts. In this context, we examine the performance of equal weights, the least squares estimators of the weights, the combination method recently proposed by Hyndman et al. (2011) and the weights suggested by shrinkage methods. We find that some variables like real GDP and GDP deflator can be forecasted more precisely by using flexible combination weights. Furthermore, combining only forecasts of the three largest European countries helps to improve the forecasting performance. The persistence of the individual data seems to play an important role for the relative performance of the combination.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Forecast combination, aggregation, macroeconomic forecasting, hierarchical time series, persistence in data

Zitieren

ISO 690

ZENG, Jing, 2015. Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates

BibTex

@techreport{Zeng2015Combi-32744,
  year={2015},
  series={Working Paper Series / Department of Economics},
  title={Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates},
  number={2015-11},
  author={Zeng, Jing}
}

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Universitätsbibliographie

Ja