Forecasting economic aggregates by disaggregates.
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 fore...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
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European Central Bank
2006
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| _version_ | 1797061340585525248 |
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| author | Hendry, D Hubrich, K |
| author_facet | Hendry, D Hubrich, K |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T20:29:42Z |
| format | Working paper |
| id | oxford-uuid:30a225cf-0e4e-40ee-8a7e-a3f39262d52d |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T20:29:42Z |
| publishDate | 2006 |
| publisher | European Central Bank |
| record_format | dspace |
| spelling | oxford-uuid:30a225cf-0e4e-40ee-8a7e-a3f39262d52d2022-03-26T13:02:37ZForecasting economic aggregates by disaggregates.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:30a225cf-0e4e-40ee-8a7e-a3f39262d52dEnglishDepartment of Economics - ePrintsEuropean Central Bank2006Hendry, DHubrich, KWe 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. |
| spellingShingle | Hendry, D Hubrich, K Forecasting economic aggregates by disaggregates. |
| title | Forecasting economic aggregates by disaggregates. |
| title_full | Forecasting economic aggregates by disaggregates. |
| title_fullStr | Forecasting economic aggregates by disaggregates. |
| title_full_unstemmed | Forecasting economic aggregates by disaggregates. |
| title_short | Forecasting economic aggregates by disaggregates. |
| title_sort | forecasting economic aggregates by disaggregates |
| work_keys_str_mv | AT hendryd forecastingeconomicaggregatesbydisaggregates AT hubrichk forecastingeconomicaggregatesbydisaggregates |