Aggregation of Space-Time Processes
AbstractIn 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.
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Bibliographic InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 582.
Length: 32 pages
Date of creation: 01 Jul 2002
Date of revision:
Publication status: published, Journal of Econometrics, 2004, 118, 7-26
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Spatial correlation; aggregation; forecast efficiency; space-time models; VAR;
Other versions of this item:
- Giacomini, Raffaella & Granger, Clive W.J., 2001. "Aggregationn of Space-Time Processes," University of California at San Diego, Economics Working Paper Series qt77f76455, Department of Economics, UC San Diego.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-03 (All new papers)
- NEP-CMP-2003-11-03 (Computational Economics)
- NEP-ECM-2003-11-03 (Econometrics)
- NEP-MFD-2003-11-03 (Microfinance)
- NEP-RMG-2003-11-03 (Risk Management)
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