The objective of this paper is to model and forecast all the components of a macro orbusiness variable. Our contribution concerns cases with a large number (hundreds) ofcomponents where multivariate approaches are not feasible. We extend in several directions the pairwise approach originally...

This paper evaluates different strategies to forecast Spanish inflation using information of price series for 57 products and 18 regions in Spain. We consider vector equilibrium correction (VeqC) models that include cointegration relationships between Spanish prices and prices in the regions of...

This paper focuses on providing consistent forecasts for an aggregate economic indicator, such as a consumer price index, and all its components, and on showing that the indirect forecast of the aggregate is at least as accurate as the direct forecast. The procedure developed is a disaggregated...