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Forecasting Aggregated Time Series Variables: A Survey

Author

Listed:
  • Helmut Lütkepohl

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 fi rst and then these forecasts may be aggregated. A number of forecasts are presented and compared. Classical theoretical results on the relative effi ciencies of different forecasts are reviewed and some complications are discussed which invalidate the theoretical results. Contemporaneous as well as temporal aggregation are considered. JEL classifi cation : C22, C32 Key Words : Autoregressive moving-average process, contemporaneous aggregation, temporal aggregation, vector autoregressive moving-average process

Suggested Citation

  • Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-26.
    • Handle: RePEc:oec:stdkab:5km399r2jz9n
    DOI: 10.1787/jbcma-2010-5km399r2jz9n
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    Cited by:

    1. Stylianos Asimakopoulos & Joan Paredes & Thomas Warmedinger, 2020. "Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 369-390, January.
    2. Ronayne, David, "undated". "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
    3. Blazej Mazur, 2015. "Density forecasts based on disaggregate data: nowcasting Polish inflation," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 71-87.
    4. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 146(1), pages 185-198.
    5. Warmedinger, Thomas & Paredes, Joan & Asimakopoulos, Stylianos, 2013. "Forecasting fiscal time series using mixed frequency data," Working Paper Series 1550, European Central Bank.
    6. Lütkepohl Helmut, 2011. "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 107-133, February.
    7. Brüggemann, Ralf & Lütkepohl, Helmut, 2013. "Forecasting contemporaneous aggregates with stochastic aggregation weights," International Journal of Forecasting, Elsevier, vol. 29(1), pages 60-68.
    8. Jing Zeng, 2016. "Combining country-specific forecasts when forecasting Euro area macroeconomic aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(2), pages 415-444, May.
    9. Ferrara, Laurent & Marsilli, Clément & Ortega, Juan-Pablo, 2014. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Economic Modelling, Elsevier, vol. 36(C), pages 44-50.
    10. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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