<p>Is concerned with forecasting aggregated time series variables. Investigates impact of the level of aggregation on the forecast efficiency. Temporal aggregation over several time periods and contemporaneous aggregation over regions, firms, etc. are considered. The data on which the forecasts are based are assumed to be generated by vector ARMA processes. The consequences of the estimation and specification uncertainty for the forecast efficiency are analyzed.</p>

Forecasting Aggregated Vector Arma Processes (Lecture Notes in Economics & Mathematical Systems)

Business & Money

Helmut Lutkepohl

Accounting

Springer, Verlag

Introduction to multiple time series analysis

Graduate level textbook deals with analyzing and forecasting multiple time series. Considers a wide range of multiple time series models and methods. Paper.

Introduction to Multiple Time Series Analysis

Economics

Springer Nature

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