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Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for the Day and Night Air Pollution in Silesia Region - A Critical Overview

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  • Daniel Kosiorowski

    (Cracow University of Economics)

  • Dominik Mielczarek

    (AGH University of Science and Technology)

  • Jerzy P. Rydlewski

    (AGH University of Science and Technology)

Abstract

In economics we often face a system which intrinsically imposes a structure of hierarchy of its components, i.e., in modeling trade accounts related to foreign exchange or in optimization of regional air protection policy. A problem of reconciliation of forecasts obtained on different levels of hierarchyh as been addressed in the statistical and econometric literature many times and concerns bringing together forecasts obtained independently at different levels of hierarchy. This paper deals with this issue with regard to a hierarchicalfunctional time series. We present and critically discuss a state of art and indicate opportunities of an application of these methods to a certain environment protection problem. We critically compare the best predictor known from the literature with our own original proposal. Within the paper we study a macromodel describing the day and night air pollution in Silesia region divided into five subregions.

Suggested Citation

  • Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski, 2018. "Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for the Day and Night Air Pollution in Silesia Region - A Critical Overview," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 53-73, March.
    • Handle: RePEc:psc:journl:v:10:y:2018:i:1:p:53-73
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    References listed on IDEAS

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    Cited by:

    1. Kosiorowski Daniel & Mielczarek Dominik & Rydlewski Jerzy P. & Snarska Małgorzata, 2018. "Generalized Exponential Smoothing In Prediction Of Hierarchical Time Series," Statistics in Transition New Series, Polish Statistical Association, vol. 19(2), pages 331-350, June.

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    More about this item

    Keywords

    day and night air pollution; functional data analysis; functionalmedian; hierarchical time series; reconciliation of forecasts;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

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