Arbeitspapier
Forecasting economic aggregates by disaggregates
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those forecasts or, alternatively, using only lagged aggregate information in forecasting the aggregate. We show theoretically that the first method of forecasting the aggregate should outperform the alternative methods in population. We investigate whether this theoretical prediction can explain our empirical findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy of the aggregate forecast of euro area and US inflation in some situations, but not in others.
- Language
-
Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 589
- Classification
-
Wirtschaft
Model Construction and Estimation
Forecasting Models; Simulation Methods
Price Level; Inflation; Deflation
- Subject
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Disaggregate information
Factor models
forecast model selection
Predictability
VAR
Prognose
Prognoseverfahren
Aggregation
Zins
Informationseffizienz
Theorie
EU-Staaten
USA
- Event
-
Geistige Schöpfung
- (who)
-
Hendry, David F.
Hubrich, Kirstin
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hendry, David F.
- Hubrich, Kirstin
- European Central Bank (ECB)
Time of origin
- 2006
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