Some considerations about “Forecasting aggregates and disaggregates with common features”

Marcos Bujosa and Alfredo Garcia-Hiernaux

International Journal of Forecasting, 2013, vol. 29, issue 4, 733-735

Abstract: Espasa and Mayo provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do so, 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 classification procedure and suggest some issues that should be taken into account when designing an algorithm to identify subsets of series that share one common trend.

Keywords: Cointegration; Common trends; Multiple comparison procedures; Statistical power; Disaggregation map (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:29:y:2013:i:4:p:733-735

DOI: 10.1016/j.ijforecast.2012.10.001

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