Aggregation of Space-Time Processes

Raffaella Giacomini () and Clive W. J. Granger

No 582, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: In this paper we compare the relative efficiency of different methods of forecasting the aggregate of spatially correlated variables. Small sample simulations confirm the asymptotic result that improved forecasting performance can be obtained by imposing a priori constraints on the amount of spatial correlation in the system. We also show that ignoring spatial correlation, even when it is weak, leads to highly inaccurate forecasts.

Keywords: Spatial correlation; aggregation; forecast efficiency; space-time models; VAR (search for similar items in EconPapers)
JEL-codes: C33 C43 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-mfd and nep-rmg
Date: 2002-07-01
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Published, Journal of Econometrics, 2004, 118, 7-26

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Related works:
Working Paper: Aggregation of Space-Time Processes (2001)
Journal Article: Aggregation of space-time processes (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocoec:582

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