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Título:
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Identifymg series with common trends to improve forecats of their aggregate
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Autores:
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Bujosa Brun, Marcos ;
García Hiernaux, Alfredo
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Decanato, 2013-03
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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.
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En línea:
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https://eprints.ucm.es/id/eprint/20792/1/1302.pdf
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