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Forecasting Aggregated Time Series Variables: A Survey

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Author Info
Helmut Luetkepohl

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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.

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Paper provided by European University Institute in its series Economics Working Papers with number ECO2009/17.

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Date of creation: 2009
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Handle: RePEc:eui:euiwps:eco2009/17

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Related research
Keywords: Autoregressive moving-average process; temporal aggregation; contemporaneous aggregation; vector autoregressive moving-average process;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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    Other versions:
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