RT Generic
T1 Forecasting aggregates and disaggregates with common features
A1 Espasa, Antoni
A1 Mayo, Iván
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB This paper focuses on providing consistent forecasts for an aggregate economicindicator, such as a consumer price index, and all its components. Theprocedure developed is a disaggregated approach based on single-equation models forthe components, which take into account the stable features as common trend andcommon serial correlation that some components have in common. Our procedure startsby classifying a large number of components based on restrictions from commonfeatures. The result of this classification is a disaggregation map, which may also beuseful in applying dynamic factors, defining intermediate aggregates or formulatingmodels with unobserved components. We apply the procedure to forecast inflation inthe Euro area, the UK and the US. Our forecasts are significantly more accurate than adirect forecast of the aggregate and other indirect forecasts.
YR 2012
FD 2012-08
LK https://hdl.handle.net/10016/10986
UL https://hdl.handle.net/10016/10986
LA eng
NO Antoni Espasa acknowledges financial support from Ministerio de Educación y Ciencia,proyect ECO 2009-08100
DS e-Archivo
RD 2 may. 2024