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Identifymg series with common trends to improve forecats of their aggregate
[Identificación de series con tendencias comunes para mejorar las previsiones de agregados]

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Abstract

Espasa and Mayo-Burgos (2013) provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do this, 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 procedure and suggest some issues that should be taken into account when designing an algorithm to identify subsets of series with one common trend. We also provide a naive algorithm following those suggestions.

Suggested Citation

  • Marcos Bujosa Brun & Alfredo García Hiernaux, 2013. "Identifymg series with common trends to improve forecats of their aggregate [Identificación de series con tendencias comunes para mejorar las previsiones de agregados]," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 13-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • Handle: RePEc:ucm:doctra:13-02
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    More about this item

    Keywords

    Cointegration; Common trends; Multiple Comparison Procedures; Statistical power; Disaggregation map; Cointegración; Tendencias Comunes; Test de Comparaciones Múltiples; Potencia estadística; Mapa de desagregación.;
    All these keywords.

    JEL classification:

    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
    • R40 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics - - - General

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