Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38887
Authors: 
Luetkepohl, Helmut
Year of Publication: 
2010
Series/Report no.: 
CESifo Working Paper 3031
Abstract: 
Despite 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.
Subjects: 
forecasting
stochastic aggregation
autoregression
moving average
vector autoregressive process
JEL: 
C32
Document Type: 
Working Paper

Files in This Item:
File
Size
283.36 kB





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