Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38887
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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.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper Empirical and Theoretical Methods |x3031en_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.type|aWorking Paperen_US
dc.identifier.ppn626784409en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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