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Some considerations about “Forecasting aggregates and disaggregates with common features”

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  • Bujosa, Marcos
  • García-Hiernaux, Alfredo

Abstract

Espasa and Mayo provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do so, they develop a procedure based on single-equation models that includes the restrictions arisen from the fact that some components share common features. The classification by common features provides a disaggregation map useful in several applications. We discuss their classification procedure and suggest some issues that should be taken into account when designing an algorithm to identify subsets of series that share one common trend.

Suggested Citation

  • Bujosa, Marcos & García-Hiernaux, Alfredo, 2013. "Some considerations about “Forecasting aggregates and disaggregates with common features”," International Journal of Forecasting, Elsevier, vol. 29(4), pages 733-735.
    • Handle: RePEc:eee:intfor:v:29:y:2013:i:4:p:733-735
    DOI: 10.1016/j.ijforecast.2012.10.001
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    References listed on IDEAS

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    1. Espasa, Antoni & Mayo-Burgos, Iván, 2013. "Forecasting aggregates and disaggregates with common features," International Journal of Forecasting, Elsevier, vol. 29(4), pages 718-732.
    2. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
    3. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
    4. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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