Forecasting contemporaneous aggregates with stochastic aggregation weights

Brüggemann, Ralf; Lütkepohl, Helmut

Forecasting contemporaneous aggregates with stochastic aggregation weights

Dateien

Brüggemann_221868.pdfGröße: 4.43 MBDownloads: 426

Datum

2013

Autor:innen

Brüggemann, Ralf

Lütkepohl, Helmut

URI (zitierfähiger Link)

http://nbn-resolving.de/urn:nbn:de:bsz:352-221868

DOI (zitierfähiger Link)

https://doi.org/10.1016/j.ijforecast.2012.05.007

Projekt

Forecasting and Structural Analysis with Contemporaneous Aggregates of Time Series Data

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Aggregation, Autoregressive process, Mean squared error

Zitieren

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.2012.05.007

BibTex

@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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Universitätsbibliographie

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