Asymmetric time aggregation and its potential benefits for forecasting annual data

Robert Kunst () and Philip Hans Franses

Empirical Economics, 2015, vol. 49, issue 1, 363-387

Abstract: For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an activity timescale instead of calendar time. Such a scheme may strike a balance between annual modeling (which processes little information) and modeling at the finest available frequency (which may lead to an excessive parameter dimension), and it may also outperform modeling calendar time units (with some months or quarters containing more information than others). We suggest an algorithm that performs an approximate inversion of the inherent seasonal time deformation. We illustrate the procedure using two exemplary weekly time series. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Seasonality; Forecasting; Time deformation; Time series (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-014-0864-0 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Asymmetric Time Aggregation and its Potential Benefits for Forecasting Annual Data (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:49:y:2015:i:1:p:363-387

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-014-0864-0

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().