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dc.contributor.authorLuetkepohl, Helmuten
dc.date.accessioned2010-05-27-
dc.date.accessioned2010-08-18T11:17:52Z-
dc.date.available2010-08-18T11:17:52Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3031en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordforecastingen
dc.subject.keywordstochastic aggregationen
dc.subject.keywordautoregressionen
dc.subject.keywordmoving averageen
dc.subject.keywordvector autoregressive processen
dc.subject.stwAggregationen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwStochastischer Prozessen
dc.subject.stwAutokorrelationen
dc.subject.stwVAR-Modellen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwArbeitslosigkeiten
dc.subject.stwInflationen
dc.subject.stwEU-Staatenen
dc.titleForecasting nonlinear aggregates and aggregates with time-varying weights-
dc.typeWorking Paperen
dc.identifier.ppn626784409en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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