Forecasting Aggregated Time Series Variables: A Survey
Title: Forecasting Aggregated Time Series Variables: A Survey
Author: LUETKEPOHL, Helmut
Publisher: European University Institute
Series/Report no.: EUI ECO; 2009/17
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 first and then these forecasts may be aggregated. A number of forecasts are presented and compared. Classical theoretical results on the relative efficiencies of different forecasts are reviewed and some complications are discussed which invalidate the theoretical results. Contemporaneous as well as temporal aggregation are considered.
Subject: Autoregressive moving-average process; temporal aggregation; contemporaneous aggregation; vector autoregressive; moving-average process; C22; C32
Type of Access: openAccess