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Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights

  • Lütkepohl Helmut

    ()

    (Department of Economics, European University Institute,Via della Piazzola 43, 50133 Firenze, Italy)

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a framework for nonlinear contemporaneous aggregation with possibly stochastic or time-varying weights is developed and different predictors for an aggregate are compared theoretically as well as with simulations. Two examples based on European unemployment and inflation series are used to illustrate the virtue of the theoretical setup and the forecasting results.

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File URL: http://www.degruyter.com/view/j/jbnst.2011.231.issue-1/jbnst-2011-0108/jbnst-2011-0108.xml?format=INT
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Article provided by De Gruyter in its journal Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).

Volume (Year): 231 (2011)
Issue (Month): 1 (February)
Pages: 107-133

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Handle: RePEc:jns:jbstat:v:231:y:2011:i:1:p:107-133
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  1. 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.
  2. 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.
  3. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
  4. Beyer, A. & Doornik, J.A. & Hendry, D.F., 2000. "Constructing Historical Euro-Zone Data," Economics Working Papers eco2000/10, European University Institute.
  5. Heather Anderson & Mardi Dungey & Denise R. Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," CAMA Working Papers 2007-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
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