Aggregationn 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. One way to do so is to aggregate forecasts from a Space-Time Autoregressive model (Cliff et al., 1975), which offers a solution to the 'curse of dimensionality' that arises when forecasting with VARs. We also show that ignoring spatial correlation, even when it is weak, leads to highly inaccurate forecasts. Finally, if the system satisfies a 'poolability' condition, there is a benefit in forecasting the aggregate variable directly.
|Date of creation:||01 May 2001|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (858) 534-3383
Fax: (858) 534-7040
Web page: http://www.escholarship.org/repec/ucsdecon/
More information through EDIRC
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.:
- Granger, C. W. J., 1987. "Implications of Aggregation with Common Factors," Econometric Theory, Cambridge University Press, vol. 3(02), pages 208-222, April.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"Forecasting and conditional projection using realistic prior distribution,"
93, Federal Reserve Bank of Minneapolis.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
- Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
- M. H. Pesaran & R. G. Pierse & M. S. Kumar, 1988.
"Econometric Analysis of Aggregation in the Context of Linear Prediction Models,"
UCLA Economics Working Papers
485, UCLA Department of Economics.
- Pesaran, M Hashem & Pierse, Richard G & Kumar, Mohan S, 1989. "Econometric Analysis of Aggregation in the Context of Linear Prediction Models," Econometrica, Econometric Society, vol. 57(4), pages 861-88, July.
- Brown, Bryan W. & Mariano, Roberto S., 1989. "Predictors in Dynamic Nonlinear Models: Large-Sample Behavior," Econometric Theory, Cambridge University Press, vol. 5(03), pages 430-452, December.
- Patrick E. Brown & Gareth O. Roberts & Kjetil F. K�resen & Stefano Tonellato, 2000. "Blur-generated non-separable space-time models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(4), pages 847-860.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
- Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.
- repec:cup:cbooks:9780521634809 is not listed on IDEAS
- Baillie, Richard T., 1980. "Predictions from ARMAX models," Journal of Econometrics, Elsevier, vol. 12(3), pages 365-374, April.
- Elhorst, J.P., 2000. "Dynamic models in space and time," Research Report 00C16, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- F Stetzer, 1982. "Specifying weights in spatial forecasting models: the results of some experiments," Environment and Planning A, Pion Ltd, London, vol. 14(5), pages 571-584, May.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- Tobias, Justin & Zellner, Arnold, 2000.
"A Note on Aggregation, Disaggregation and Forecasting Performance,"
Staff General Research Papers
12024, Iowa State University, Department of Economics.
- Zellner, Arnold & Tobias, Justin, 2004. "A Note on Aggregation, Disaggregation and Forecasting Performance," Staff General Research Papers 12371, Iowa State University, Department of Economics.
- Aigner, Dennis J & Goldfeld, Stephen M, 1974. "Estimation and Prediction from Aggregate Data when Aggregates are Measured More Accurately than Their Components," Econometrica, Econometric Society, vol. 42(1), pages 113-34, January.
- Kohn, Robert, 1982. "When is an aggregate of a time series efficiently forecast by its past?," Journal of Econometrics, Elsevier, vol. 18(3), pages 337-349, April.
- Bronars, Stephen G. & Jansen, Dennis W., 1987. "The geographic distribution of unemployment rates in the U.S. : A spatial-time series analysis," Journal of Econometrics, Elsevier, vol. 36(3), pages 251-279, November.
When requesting a correction, please mention this item's handle: RePEc:cdl:ucsdec:qt77f76455. 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: (Lisa Schiff)
If references are entirely missing, you can add them using this form.