Forecasting Aggregated Vector ARMA Processes

1. Prologue -- 1.1 Objective of the Study -- 1.2 Survey of the Study -- 2. Vector Stochastic Processes -- 2.1 Discrete-Time, Stationary Vector Stochastic Processes -- 2.2 Nonstationary Processes -- 2.3 Vector Autoregressive Moving Average Processes -- 2.4 Estimation -- 2.5 Model Specification -- 2.6 Summary -- 3. Forecasting Vector Stochastic Processes -- 3.1 Forecasting Known Processes -- 3.2 Forecasting Vector ARMA Processes with Estimated Coefficients -- 3.3 Forecasting Autoregressive Processes of Unknown Order -- 3.4 Forecasting Nonstationary Processes -- 3.5 Comparing Forecasts -- 3.6 Summary -- 4. Forecasting Contemporaneously Aggregated Known Processes -- 4.1 Linear Transformations of Vector Stochastic Processes -- 4.2 Forecasting Linearly Transformed Stationary Vector Stochastic Processes -- 4.3 Forecasting Linearly Transformed Nonstationary Processes -- 4.4 Linearly Transformed Vector ARMA Processes -- 4.5 Summary and Comments -- 5. Forecasting Contemporaneously Aggregated Estimated Processes -- 5.1 Summary of Assumptions and Predictors -- 5.2 Estimated Coefficients -- 5.3 Unknown Orders and Estimated Coefficients -- 5.4 Nonstationary Processes -- 5.5 Small Sample Results -- 5.6 An Empirical Example -- 5.7 Conclusions -- 6. Forecasting Temporally and Contemporaneously Aggregated Known Processes -- 6.1 Macro Processes -- 6.2 Six Predictors -- 6.3 Comparison of Predictors -- 6.4 Nonstationary Processes -- 6.5 Temporally and Contemporaneously Aggregated Vector ARMA Processes -- 6.6 Conclusions and Comments -- 7. Temporal Aggregation of Stock Variables - Systematically Missing Observations -- 7.1 Forecasting Known Processes with Systematically Missing Observations -- 7.2 Processes With Estimated Coefficients -- 7.3 Processes With Unknown Orders and Estimated Coefficients -- 7.4 Nonstationary Time Series with Systematically Missing Observations -- 7.5 Monte Carlo Results -- 7.6 Empirical Examples -- 7.7 Concluding Remarks -- 7.A Appendix: Proof of Relation (7.2.18) -- 8. Temporal Aggregation of Flow Variables -- 8.1 Forecasting with Known Processes -- 8.2 Forecasts Based on Processes with Estimated Coefficients -- 8.3 Forecasting with Autoregressive Processes of Unknown Order -- 8.4 Temporally Aggregated Nonstationary Processes -- 8.5 Small Sample Comparison -- 8.6 Examples -- 8.7 Summary and Conclusions -- 8.A Appendix: Proof of Relation (8.2.23) -- 9. Joint tTemporal and Contemporaneous Aggregation -- 9.1 Summary of Processes and Predictors -- 9.2 Prediction Based on Processes with Estimated Coefficients -- 9.3 Prediction Based on Estimated Processes with Unknown Orders -- 9.4 Monte Carlo Comparison of Predictors -- 9.5 Forecasts of U.S. Gross Private Domestic Investment -- 9.6 Summary and Conclusions -- 10. Epilogue -- 10.1 Summary and Conclusions -- 10.2 Some Remaining Problems -- Appendix. Data Used for Examples.