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Forecasting Aggregated Vector Arma Processes Helmut Lütkepohl

Forecasting Aggregated Vector Arma Processes

Helmut Lütkepohl

Published January 1st 1987
ISBN : 9783540172086
Paperback
323 pages
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 About the Book 

Is concerned with forecasting aggregated time series variables. Investigates impact of the level of aggregation on the forecast efficiency. Temporal aggregation over several time periods and contemporaneous aggregation over regions, firms, etc. areMoreIs concerned with forecasting aggregated time series variables. Investigates impact of the level of aggregation on the forecast efficiency. Temporal aggregation over several time periods and contemporaneous aggregation over regions, firms, etc. are considered. The data on which the forecasts are based are assumed to be generated by vector ARMA processes. The consequences of the estimation and specification uncertainty for the forecast efficiency are analyzed.