Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7408645 | International Journal of Forecasting | 2013 | 15 Pages |
Abstract
This paper focuses on the provision of consistent forecasts for an aggregate economic indicator, such as a consumer price index and its components. The procedure developed is a disaggregated approach based on single-equation models for the components, which take into account the stable features that some components share, such as a common trend and common serial correlation. Our procedure starts by classifying a large number of components based on restrictions from common features. The result of this classification is a disaggregation map, which may also be useful in applying dynamic factors, defining intermediate aggregates or formulating models with unobserved components. We use the procedure to forecast inflation in the Euro area, the UK and the US. Our forecasts are significantly more accurate than either a direct forecast of the aggregate or various other indirect forecasts.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Antoni Espasa, Iván Mayo-Burgos,