Forecasting Aggregated Time Series Variables: A Survey

Helmut Luetkepohl
Authors registered in the RePEc Author Service: Helmut Lütkepohl ()

No ECO2009/17, Economics Working Papers from European University Institute

Abstract: Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained first and then these forecasts may be aggregated. A number of forecasts are presented and compared. Classical theoretical results on the relative efficiencies of different forecasts are reviewed and some complications are discussed which invalidate the theoretical results. Contemporaneous as well as temporal aggregation are considered.

Keywords: Autoregressive moving-average process; temporal aggregation; contemporaneous aggregation; vector autoregressive moving-average process (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:eui:euiwps:eco2009/17

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