Hendry, David F.; Hubrich, Kirstin - In: Journal of Business & Economic Statistics 29 (2011) 2, pp. 216-227
To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, misspecification, estimation uncertainty, and mismeasurement...