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An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates

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  • George Kapetanios
  • Fotis Papailias

Abstract

National statistics offices and similar institutions often produce country indices which are based on the aggregation of large number of disaggregate series. In some cases these disaggregate series are also published and, therefore, are available to be used for further research. In other cases the disaggregate series are available only for in-house purposes and are still under research on whether more indices could be extracted. This report is concerned with the very specific task of comparing gains in nowcasting using a single aggregate variable/index versus the full use of all the available disaggregate indices. This approach should be viewed as part of an overall dataset assessment framework where our aim is to assist the applied statistician on whether a novel dataset of time series could be useful to economics researchers

Suggested Citation

  • George Kapetanios & Fotis Papailias, 2022. "An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates," Economic Statistics Centre of Excellence (ESCoE) Technical Reports ESCOE-TR-17, Economic Statistics Centre of Excellence (ESCoE).
    • Handle: RePEc:nsr:escoet:escoe-tr-17
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    References listed on IDEAS

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    1. George Kapetanios & Fotis Papailias, 2021. "UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2017-2023 papers hosted by The National Institute of Economic and Social Research) ESCoE DP-2021-10, Economic Statistics Centre of Excellence (ESCoE).
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    7. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006. "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 499-526.
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    Cited by:

    1. Kapetanios, George & Papailias, Fotis, 2023. "Nowcasting with Backcalculated Short Time Series Simulations & Empirical Evidence," Discussion Papers escoe-dp-2023-08, Economic Statistics Centre of Excellence.
    2. repec:nsr:escoet:escoe-tr-18 is not listed on IDEAS

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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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