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 …

Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for … and the aggregation weights, and a forecast which aggregates univariate forecasts of individual disaggregate components … and the aggregation weights. In empirical illustrations based on aggregate GDP and money stock series, we find forecast …