Aggregation of Space-Time Processes

In this paper we compare the relative efficiency of different methods of forecasting the aggregate of spatially correlated variables. Small sample simulations confirm the asymptotic result that improved forecasting performance can be obtained by imposing a priori constraints on the amount of spatial correlation in the system. We also show that ignoring spatial correlation, even when it is weak, leads to highly inaccurate forecasts.

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Year of publication:	2002-07-01
Authors:	Giacomini, Raffaella ; Granger, Clive W.J.
Institutions:	Department of Economics, Boston College
Subject:	Spatial correlation \| aggregation \| forecast efficiency \| space-time models \| VAR

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Extent:	application/pdf
Series:	Boston College Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	published, Journal of Econometrics, 2004, 118, 7-26 The text is part of a series Boston College Working Papers in Economics Number 582 32 pages
Classification:	C33 - Models with Panel Data ; C43 - Index Numbers and Aggregation ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004968862