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Forecasting a large set of disaggregates with common trends and outliers

Listed author(s):
  • Espasa, Antoni
  • Carlomagno, Guillermo

This paper deals with macro variables which have a large number of components and our aim is to model and forecasts all of them. We adopt a basic statistical procedure for discovering common trends among a large set of series and propose some extensions to take into account data irregularities and small samples issues. The forecasting strategy consists on estimating single-equation models for all the components, including the restrictions derived from the existence of common trends. An application to the disaggregated US CPI shows the usefulness of the procedure in real data problems.

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File URL: http://e-archivo.uc3m.es/bitstream/handle/10016/21572/ws1518.pdf?sequence=3
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Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number ws1518.

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Date of creation: 01 Sep 2015
Handle: RePEc:cte:wsrepe:ws1518
Contact details of provider: Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica

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  33. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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