Date: 2009
Type: Working Paper
Forecasting Aggregated Time Series Variables: A Survey
Working Paper, EUI ECO, 2009/17
LUETKEPOHL, Helmut, Forecasting Aggregated Time Series Variables: A Survey, EUI ECO, 2009/17 - https://hdl.handle.net/1814/11256
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/11256
ISSN: 1725-6704
Series/Number: EUI ECO; 2009/17
Publisher: European University Institute