Thumbnail
Access Restriction
Open

Author Lütkepohl, Helmut
Source OECD iLibrary
Content type Text
Publisher OECD Publishing
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword Economics
Abstract Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained fi rst and then these forecasts may be aggregated. A number of forecasts are presented and compared. Classical theoretical results on the relative effi ciencies of different forecasts are reviewed and some complications are discussed which invalidate the theoretical results. Contemporaneous as well as temporal aggregation are considered. JEL classifi cation : C22, C32 Key Words : Autoregressive moving-average process, contemporaneous aggregation, temporal aggregation, vector autoregressive moving-average process
Learning Resource Type Article
Publisher Date 2011-02-03
Volume Number 2010
Issue Number 2
Page Count 26
Starting Page 1
Ending Page 26


Source: OECD iLibrary