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Linear Combination of Information in Time Series Analysis

Author

Listed:
  • Victor M. Guerrero

    (Centro de Investigacion Economica (CIE), Instituto Tecnologico Autonomo de Mexico (ITAM))

  • Daniel Peña

    (Universidad Carlos III de Madrid)

Abstract

An important tool in time series analysis is that of combining information in an optimal manner. Here we establish a basic combining rule of linear estimators and exemplify its use with several different problems faced by a time series analyst. A compatibility test statistic is also provided as a companion of the combining rule. This statistic plays a fundamental role for obtaining sensible results from the combination and for pointing out some possibly new directions of analysis.

Suggested Citation

  • Victor M. Guerrero & Daniel Peña, 1995. "Linear Combination of Information in Time Series Analysis," Working Papers 9507, Centro de Investigacion Economica, ITAM.
    • Handle: RePEc:cie:wpaper:9507
    as

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    References listed on IDEAS

    as
    1. Guerrero, Victor M., 1991. "ARIMA forecasts with restrictions derived from a structural change," International Journal of Forecasting, Elsevier, vol. 7(3), pages 339-347, November.
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    3. Palm, F. & Zellner, A., 1991. "To combine or not to combine? issues of combining forecasts," LIDAM Discussion Papers CORE 1991022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Gómez, Víctor & Maravall, Agustín & Peña, Daniel, 1993. "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS 3737, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Daniel O. Stram & William W. S. Wei, 1986. "A Methodological Note On The Disaggregation Of Time Series Totals," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 293-302, July.
    6. Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-241, April.
    7. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
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