Aggregation of Space-Time Processes
In this paper we compare the relative efficiency of different methods of forecasting the aggregate of spatially correlated variables. Small sample simulations confirm the asymptotic result that improved forecasting performance can be obtained by imposing a priori constraints on the amount of spatial correlation in the system. We also show that ignoring spatial correlation, even when it is weak, leads to highly inaccurate forecasts.
|Date of creation:||01 Jul 2002|
|Publication status:||published, Journal of Econometrics, 2004, 118, 7-26|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
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Staff General Research Papers Archive
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