The Assessement Of Uncertainty In Predictions Determined By The Variables Aggregation
The aggregation of the variables that compose an indicator, as GDP, which should beforecasted, is not mentioned explicitly in literature as a source of forecasts uncertainty. In thisarticle we demonstrate that variables aggregation is an important source of uncertainty inforecasting and we evaluate the accuracy of predictions for a variable obtained by aggregationusing two different strategies. Actually, the accuracy is an important dimension of uncertainty. Inthis study based on data on U.S. GDP and its components in 1995-2010, we found that GDP one-step-ahead forecasts made by aggregating the components with variable weights, modeled usingARMA procedure, have a higher accuracy than those with constant weights or the direct forecasts.Excepting the GDP forecasts obtained directly from the model, the one-step-ahead forecastsresulted form the GDP components‘ forecasts aggregation are better than those made on anhorizon of 3 years . The evaluation of this source of uncertainty should be considered formacroeconomic aggregates in order to choose the most accurate forecast.
Volume (Year): 2 (2011)
Issue (Month): 13 ()
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giacomini, Raffaella & White, Halbert, 2003.
"Tests of Conditional Predictive Ability,"
University of California at San Diego, Economics Working Paper Series
qt5jk0j5jh, Department of Economics, UC San Diego.
- George Athanasopoulos & Farshid Vahid, 2008.
"A complete VARMA modelling methodology based on scalar components,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 29(3), pages 533-554, 05.
- George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics.
- Hyndman, Rob J. & Koehler, Anne B., 2006.
"Another look at measures of forecast accuracy,"
International Journal of Forecasting,
Elsevier, vol. 22(4), pages 679-688.
- Rob J. Hyndman & Anne B. Koehler, 2005. "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers 13/05, Monash University, Department of Econometrics and Business Statistics.
- Kirstin Hubrich, 2004.
"Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?,"
Computing in Economics and Finance 2004
230, Society for Computational Economics.
- Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
- Hubrich, Kirstin, 2003. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series 0247, European Central Bank.
- Hendry, David F & Hubrich, Kirstin, 2006.
"Forecasting Economic Aggregates by Disaggregates,"
CEPR Discussion Papers
5485, C.E.P.R. Discussion Papers.
- David F. Hendry & Kirstin Hubrich, 2011.
"Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 29(2), pages 216-227, April.
- Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
- Hendry, David F. & Hubrich, Kirstin, 2010. "Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate," Working Paper Series 1155, European Central Bank.
- Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, EconWPA.
When requesting a correction, please mention this item's handle: RePEc:alu:journl:v:2:y:2011:i:13:p:31. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dan-Constantin Danuletiu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.