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

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Forecasting Aggregated Vector Arma Processes (Lecture Notes in Economics & Mathematical Systems) image
ISBN-10:

0387172084

ISBN-13:

9780387172088

Author(s): Helmut Lutkepohl
Released: Jan 01, 1987
Publisher: Springer, Verlag
Format: Paperback, 323 pages
Related ISBN: 9783540172086

Description:

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.

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