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Linear aggregation of vector autoregressive moving average processes

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  • Lutkepohl, Helmut

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  • Lutkepohl, Helmut, 1984. "Linear aggregation of vector autoregressive moving average processes," Economics Letters, Elsevier, vol. 14(4), pages 345-350.
    • Handle: RePEc:eee:ecolet:v:14:y:1984:i:4:p:345-350
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    References listed on IDEAS

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    1. Arnold Zellner, 1978. "Seasonal Analysis of Economic Time Series," NBER Books, National Bureau of Economic Research, Inc, number zell78-1.
    2. William W. S. Wei, 1978. "Some Consequences of Temporal Aggregation in Seasonal Time Series Models," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 433-448, National Bureau of Economic Research, Inc.
    3. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June.
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    1. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 146(1), pages 185-198.
    2. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    3. Namwon Hyung & Clive W.J. Granger, 2008. "Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 95-108.
    4. Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin, 2009. "Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 330-336, March.
    5. Giacomo Sbrana & Andrea Silvestrini, 2012. "Comparing aggregate and disaggregate forecasts of first order moving average models," Statistical Papers, Springer, vol. 53(2), pages 255-263, May.

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