Arbeitspapier
Forecasting nonlinear aggregates and aggregates with time-varying weights
Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 3031
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
forecasting
stochastic aggregation
autoregression
moving average
vector autoregressive process
Aggregation
Prognoseverfahren
Stochastischer Prozess
Autokorrelation
VAR-Modell
Zeitreihenanalyse
Arbeitslosigkeit
Inflation
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Luetkepohl, Helmut
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Luetkepohl, Helmut
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2010
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