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Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models

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  • Nijman, Theo E
  • Palm, Franz C

Abstract

We compare the forecast accuracy of autoregressive integrated moving average (ARIMA) models based on data observed with high and low frequency, respectively. We discuss how, for instance, a quarterly model can be used or predict one quarter ahead even if only annual data are available, and we compare the variance of the prediction error in this case with the variance if quarterly observations were indeed available. Results on the expected information gain are presented for a number of ARIMA models including models that describe the seasonally adjusted gross national product (GNP) series in the Netherlands. Disaggregation from annual to quarterly GNP data has reduced the variance of short-run forecast errors considerably, but furter disaggregation from quarterly to monthly data is found to hardly improve the accuracy of monthly forecasts.

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  • Nijman, Theo E & Palm, Franz C, 1990. "Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-415, October.
    • Handle: RePEc:bes:jnlbes:v:8:y:1990:i:4:p:405-15
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    3. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," LIDAM Discussion Papers CORE 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    5. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June.
    6. Thiago Carlomagno Carlo & Emerson Fernandes Marçal, 2016. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Applied Economics, Taylor & Francis Journals, vol. 48(50), pages 4846-4860, October.
    7. Pena-Levano, Luis M. & Ramirez, Octavio & Renteria-Pinon, Mario, 2015. "Efficiency Gains in Commodity Forecasting with High Volatility in Prices using Different Levels of Data Aggregation," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205740, Agricultural and Applied Economics Association.
    8. Feijoo, Santiago Rodriguez & Caro, Alejandro Rodriguez & Quintana, Delia Davila, 2003. "Methods for quarterly disaggregation without indicators; a comparative study using simulation," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 63-78, May.
    9. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo, 2000. "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach," University of California at Santa Barbara, Economics Working Paper Series qt9ph6b5gp, Department of Economics, UC Santa Barbara.
    10. Yue Fang & Sergio G. Koreisha, 2004. "Updating ARMA predictions for temporal aggregates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 275-296.
    11. Andrea Silvestrini & David Veredas, 2008. "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 458-497, July.
    12. Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
    13. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    14. Pena-Levano, Luis M & Foster, Kenneth, 2016. "Efficiency gains in commodity forecasting using disaggregated levels versus more aggregated predictions," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235792, Agricultural and Applied Economics Association.
    15. Alejandro Rodríguez Caro & Santiago Rodríguez Feijoo & Delia Dávila Quintana, 2003. "La trimestralización de variables flujo. Un estudio de simulación de los métodos de desagregación temporal con indicador," Documentos de trabajo conjunto ULL-ULPGC 2003-01, Facultad de Ciencias Económicas de la ULPGC.
    16. Mohammadipour, Maryam & Boylan, John E., 2012. "Forecast horizon aggregation in integer autoregressive moving average (INARMA) models," Omega, Elsevier, vol. 40(6), pages 703-712.
    17. Ramirez, Octavio A., 2011. "Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts," Faculty Series 113520, University of Georgia, Department of Agricultural and Applied Economics.
    18. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
    19. Athanasopoulos, George & Hyndman, Rob J. & Kourentzes, Nikolaos & Panagiotelis, Anastasios, 2024. "Forecast reconciliation: A review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 430-456.
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    21. Pierse, R. G. & Snell, A. J., 1995. "Temporal aggregation and the power of tests for a unit root," Journal of Econometrics, Elsevier, vol. 65(2), pages 333-345, February.

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