Recent concern about the inadequacies of econometric models has led not only to the search for causes, but also to the proposal of constructive remedies for these difficulties. In this paper we analyse the links between econometric modelling methodologies and the performance of econometric...

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in...