Forecasting aggregates and disaggregates with common features

Iván Mayo
Authors registered in the RePEc Author Service: Antoni Espasa

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper focuses on providing consistent forecasts for an aggregate economic indicator, such as a consumer price index, and all its components. The procedure developed is a disaggregated approach based on single-equation models for the components, which take into account the stable features as common trend and common serial correlation that some components have in common. Our procedure starts by classifying a large number of components based on restrictions from common features. The result of this classification is a disaggregation map, which may also be useful in applying dynamic factors, defining intermediate aggregates or formulating models with unobserved components. We apply the procedure to forecast inflation in the Euro area, the UK and the US. Our forecasts are significantly more accurate than a direct forecast of the aggregate and other indirect forecasts.

Keywords: Inflation; Euro; Area; UK; US; Common; trends; Common; serial; correlation; Cointegration; Single-equation; econometric; models; Disaggregation; maps (search for similar items in EconPapers)
Date: 2012-08
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Forecasting aggregates and disaggregates with common features (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws110805

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