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Forecasting euro-area variables with German pre-EMU data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006

It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the period 1970Q1 - 2003Q4 for ten macroeconomic...

Persistent link: https://www.econbiz.de/10010263654

Time-scale transformations of discrete time processes

Jordà, Òscar; Marcellino, Massimiliano - 2003

This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly … stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such … as when monthly data is aggregated into quarters. A variable aggregation frequency implies that the aggregated process …

Persistent link: https://www.econbiz.de/10010274321

Forecasting Euro-Area Variables with German Pre-EMU Data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2008

It is investigated whether euro area variables can be forecast better based on synthetic time series for the pre-euro period or by using just data from Germany for the pre-euro period. Our forecast comparison is based on quarterly data for the period 1970Q1-2003Q4 for 10 macroeconomic variables....

Persistent link: https://www.econbiz.de/10009471761