Brüggemann, Ralf; Lütkepohl, Helmut - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2011
Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for … and the aggregation weights, and a forecast which aggregates univariate forecasts for individual disaggregate components … and the aggregation weights. In empirical illustrations based on aggregate GDP and money growth rates, we find forecast …