Aggregation of regional economic time series with different spatial correlation structures
AbstractIn this paper we compare the relative efficiency of different forecasting methods of space-time series when variables are spatially and temporally correlated. We consider the case of a space-time series aggregated into a single time series and the more general instance of a space-time series aggregated into a coarser spatial partition. We extend in various directions the outcomes found in the literature by including the consideration of larger datasets and the treatment of edge effects and of negative spatial correlation. The outcomes obtained provide operational suggestions on how to choose between alternative forecasting methods in empirical circumstances.
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Bibliographic InfoPaper provided by Department of Economics, University of Trento, Italia in its series Department of Economics Working Papers with number 0720.
Date of creation: 2007
Date of revision:
Spatial correlation; Aggregation; Forecast efficiency; Space–time models; Edge effects; Negative spatial correlation.;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect 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-2007-09-24 (All new papers)
- NEP-ECM-2007-09-24 (Econometrics)
- NEP-ETS-2007-09-24 (Econometric Time Series)
- NEP-FOR-2007-09-24 (Forecasting)
- NEP-GEO-2007-09-24 (Economic Geography)
- NEP-URE-2007-09-24 (Urban & Real Estate Economics)
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- Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007.
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- Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2008. "Regional unemployment forecasts with spatial interdependencies," IAB Discussion Paper 200828, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Marco Bee & Diego GIuliani & Giuseppe Espa, 2013. "Approximate Maximum Likelihood Estimation of the Autologistic Model," DEM Discussion Papers 2013/12, Department of Economics and Management.
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