Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153023 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
ECB Working Paper No. 589
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Disaggregate information
Factor models
forecast model selection
Predictability
VAR
JEL: 
C51
C53
E31
Dokumentart: 
Working Paper

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