This paper focuses on the core inflation measurement in Italy using univariate (national-level inflation) vs. multivariate (city-level inflation) models during the period 1970–2006. We derive algebraic expressions that allow comparison between the reduced form parameters of univariate and...

In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although...

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.

In this paper we propose a unified framework to analyse contemporaneous and temporal aggregation of a widely employed class of integrated moving average (IMA) models. We obtain a closed-form representation for the parameters of the contemporaneously and temporally aggregated process as a...

Exponential smoothing models represent an important prediction tool both in business and in macroeconomics. This paper provides the analytical forecasting properties of the random coefficient exponential smoothing model in the “multiple source of error” framework. The random coefficient...

Exponential smoothing models are an important prediction tool in macroeconomics, finance and business. This paper presents the analytical forecasting properties of the random coefficient exponential smoothing model in the multiple source of error framework. The random coefficient state-space...