Autore
LUETKEPOHL, HelmutTitolo
Forecasting Aggregated Time Series Variables: A SurveyPeriodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
2009 - Fascicolo:
17 - Pagina iniziale:
1 - Pagina finale:
33Aggregated 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.
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