Identifymg series with common trends to improve forecats of their aggregate

Identificación de series con tendencias comunes para mejorar las previsiones de agregados

Marcos Bujosa and Alfredo Garcia-Hiernaux

No 13-02, Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: Espasa and Mayo-Burgos (2013) provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do this, they develop a procedure based on single-equation models that includes the restrictions arisen from the fact that some components share common features. The classification by common features provides a disaggregation map useful in several applications. We discuss their procedure and suggest some issues that should be taken into account when designing an algorithm to identify subsets of series with one common trend. We also provide a naive algorithm following those suggestions.

Keywords: Cointegration; Common trends; Multiple Comparison Procedures; Statistical power; Disaggregation map; Cointegración; Tendencias Comunes; Test de Comparaciones Múltiples; Potencia estadística; Mapa de desagregación. (search for similar items in EconPapers)
JEL-codes: D24 R12 R40 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2013
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