Forecasting Aggregated Vector ARMA Processes

Forecasting Aggregated Vector ARMA Processes

This study is concerned with forecasting time series variables and the impact of the level of aggregation on the efficiency of the forecasts.

Author: Helmut Lütkepohl

Publisher: Springer Science & Business Media

ISBN: 9783642615849

Category: Business & Economics

Page: 323

View: 445

This study is concerned with forecasting time series variables and the impact of the level of aggregation on the efficiency of the forecasts. Since temporally and contemporaneously disaggregated data at various levels have become available for many countries, regions, and variables during the last decades the question which data and procedures to use for prediction has become increasingly important in recent years. This study aims at pointing out some of the problems involved and at pro viding some suggestions how to proceed in particular situations. Many of the results have been circulated as working papers, some have been published as journal articles, and some have been presented at conferences and in seminars. I express my gratitude to all those who have commented on parts of this study. They are too numerous to be listed here and many of them are anonymous referees and are therefore unknown to me. Some early results related to the present study are contained in my monograph "Prognose aggregierter Zeitreihen" (Lutkepohl (1986a)) which was essentially completed in 1983. The present study contains major extensions of that research and also summarizes the earlier results to the extent they are of interest in the context of this study.
Categories: Business & Economics

A Companion to Economic Forecasting

A Companion to Economic Forecasting

Forecasting contemporaneously aggregated vector ARMA processes. Journal of Business and Economic Statistics, 2, 201–14. Lütkepohl, H. (1986a). Forecasting vector ARMA processes with systematically missing observations.

Author: Michael P. Clements

Publisher: John Wiley & Sons

ISBN: 9781405171915

Category: Social Science

Page: 616

View: 248

A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Categories: Social Science

Handbook of Economic Forecasting

Handbook of Economic Forecasting

Forecasting aggregates by disaggregates”. ... “Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?”. ... “Forecasting temporally aggregated vector ARMA processes”.

Author: G. Elliott

Publisher: Elsevier

ISBN: 9780444513953

Category: Business & Economics

Page: 1070

View: 477

Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing. *Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods *Insights within this volume can be applied to economics, finance and marketing disciplines
Categories: Business & Economics

Multivariate Time Series Analysis and Applications

Multivariate Time Series Analysis and Applications

The use of temporally aggregation data on detecting a mean change of a time series process. Communications in Statistics-Theory and ... Forecasting contemporaneously aggregated vector ARMA processes. Journal of Business and Economic ...

Author: William W. S. Wei

Publisher: Wiley

ISBN: 9781119502852

Category: Mathematics

Page: 680

View: 536

An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Categories: Mathematics

Economic Forecasts

Economic Forecasts

Appendix B Properties of aggregates with stochastic aggregation weights Suppose the aggregation weights w; - (u, 2.0) are iid vectors which are independent of yo. ... Lütkepohl, H. (1987), Forecasting Aggregated Vector ARMA Processes.

Author: Ralf Brüggemann

Publisher: Walter de Gruyter GmbH & Co KG

ISBN: 9783110510843

Category: Business & Economics

Page: 176

View: 449

Forecasts guide decisions in all areas of economics and finance. Economic policy makers base their decisions on business cycle forecasts, investment decisions of firms are based on demand forecasts, and portfolio managers try to outperform the market based on financial market forecasts. Forecasts extract relevant information from the past and help to reduce the inherent uncertainty of the future. The topic of this special issue of the Journal of Economics and Statistics is the theory and practise of forecasting and forecast evaluation and an overview of the state of the art of forecasting.
Categories: Business & Economics

Aggregation and the Microfoundations of Dynamic Macroeconomics

Aggregation and the Microfoundations of Dynamic Macroeconomics

( 1984 ) , “ Linear Transformations of Vector ARMA Processes , ” Journal of Econometrics , 26 , 283–93 . ( 1987 ) , Forecasting Aggregated Vector ARMA Processes . Berlin : Springer Verlag . Mansfield , E. ( 1973 ) , “ Determinants of ...

Author: Mario Forni

Publisher: Oxford University Press

ISBN: 019828800X

Category: Business & Economics

Page: 235

View: 343

Through careful methodological analysis, this book argues that modern macroeconomics has completely overlooked the aggregate nature of the data. In Part I, the authors test and reject the homogeneity assumption using disaggregate data. In Part II, they demonstrate that apart from random flukes, cointegration unidirectional Granger causality and restrictions on parameters do not survive aggregation when heterogeneity is introduced. They conclude that the claim that modern macroeconomics has solid microfoundations is unwarranted. However, some important theory-based models that do not fit aggregate data well in their representative-agent version can be reconciled with aggregate data by introducing heterogeneity.
Categories: Business & Economics

Comparative Performance of U S Econometric Models

Comparative Performance of U S  Econometric Models

"Reducing Uncertainty in Short-Term Projections: Linkage of Monthly and Quarterly Models. ... "Minimum Variance Pooling of Forecasts at Different Levels of Aggregation. ... "Forecasting Temporally Aggregated Vector ARMA Processes.

Author: Lawrence Robert Klein

Publisher: Oxford University Press on Demand

ISBN: 9780195057720

Category: Business & Economics

Page: 325

View: 923

Each year, a number of different economic groups in the USA use their own econometric models to forecast what will happen to the economy in the coming year. This volume consists of chapters by distinguished economists comparing the different models now being used.
Categories: Business & Economics

Contemporary Biostatistics with Biopharmaceutical Applications

Contemporary Biostatistics with Biopharmaceutical Applications

J. Basic Eng. 82,35–45 (1960) Kohn, R.: When is an aggregate of a time series efficiently forecast by its past? J. Econ. ... 28, 177–203 (2013) Lütkepohl, H.: Forecasting contemporaneously aggregated vector ARMA processes. J. Bus. Econ.

Author: Lanju Zhang

Publisher: Springer

ISBN: 9783030153106

Category: Medical

Page: 336

View: 723

This edited volume presents current research in biostatistics with emphasis on biopharmaceutical applications. Featuring contributions presented at the 2017 ICSA Applied Statistics Symposium held in Chicago, IL on June 25 to 28, 2017, this book explores timely topics that have a high potential impact on statistical methodology and future research in biostatistics and biopharmaceuticals. The theme of this conference was Statistics for a New Generation: Challenges and Opportunities, in recognition of the advent of a new generation of statisticians. The conference attracted statisticians working in academia, government, and industry; domestic and international statisticians. From the conference, the editors selected 28 high-quality presentations and invited the speakers to prepare full chapters for this book. These contributions are divided into four parts: Part I Biostatistical Methodology, Part II Statistical Genetics and Bioinformatics, Part III Regulatory Statistics, and Part IV Biopharmaceutical Research and Applications. Featuring contributions on topics such as statistics in genetics, bioinformatics, biostatistical methodology, and statistical computing, this book is beneficial to researchers, academics, practitioners and policy makers in biostatistics and biopharmaceuticals.
Categories: Medical

Disaggregation in Econometric Modelling Routledge Revivals

Disaggregation in Econometric Modelling  Routledge Revivals

(1988b) 'On the dynamics of aggregate macroequations: from simple microbehaviour to complex macroequations', in Dosi, G., ... (1984b) 'Forecasting contemporaneously aggregated vector ARMA processes', Journal of Business and Economic ...

Author: Terry Barker

Publisher: Routledge

ISBN: 9781317829188

Category: Social Science

Page: 348

View: 466

In this book, first published in 1990, leading theorists and applied economists address themselves to the key questions of aggregation. The issues are covered both theoretically and in wide-ranging applications. Of particular intrest is the optimal aggregation of trade data, the need for micro-modelling when imoprtant non-linearities are present (for example, tax exhaustion in modelling company behaviour) and the use of a micro-model to stimulate labour supply behaviour in a macro-model of the Netherlands.
Categories: Social Science