Forecasting a large set of disaggregates with common trends and outliers

Guillermo Carlomagno
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 deals with macro variables which have a large number of components and our aim is to model and forecasts all of them. We adopt a basic statistical procedure for discovering common trends among a large set of series and propose some extensions to take into account data irregularities and small samples issues. The forecasting strategy consists on estimating single-equation models for all the components, including the restrictions derived from the existence of common trends. An application to the disaggregated US CPI shows the usefulness of the procedure in real data problems.

Keywords: Cointegration; Pairwise; testing; Disaggregation; Forecast; model; selection; Outliers; treatment; Inflation (search for similar items in EconPapers)
Date: 2015-09-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws1518

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