Type: Working Paper
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
Working Paper, EUI ECO, 2010/11
LUETKEPOHL, Helmut, Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights, EUI ECO, 2010/11 - http://hdl.handle.net/1814/13662
Retrieved from Cadmus, EUI Research Repository
Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a framework for nonlinear contemporaneous aggregation with possibly stochastic or time-varying weights is developed and different predictors for an aggregate are compared theoretically as well as with simulations. Two examples based on European unemployment and inflation series are used to illustrate the virtue of the theoretical setup and the forecasting results.
Cadmus permanent link: http://hdl.handle.net/1814/13662
Series/Number: EUI ECO; 2010/11