EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/38887
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorLuetkepohl, Helmuten_US
dc.date.accessioned2010-05-27en_US
dc.date.accessioned2010-08-18T11:17:52Z-
dc.date.available2010-08-18T11:17:52Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/38887-
dc.description.abstractDespite 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.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper Empirical and Theoretical Methods 3031en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordforecastingen_US
dc.subject.keywordstochastic aggregationen_US
dc.subject.keywordautoregressionen_US
dc.subject.keywordmoving averageen_US
dc.subject.keywordvector autoregressive processen_US
dc.subject.stwAggregationen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwAutokorrelationen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwArbeitslosigkeiten_US
dc.subject.stwInflationen_US
dc.subject.stwEU-Staatenen_US
dc.titleForecasting nonlinear aggregates and aggregates with time-varying weightsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn626784409en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
626784409.pdf283.36 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.