In this paper, we address whether using a disaggregated series or combining an aggregated and disaggregated series improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques, such as the weighted lag adaptive least absolute...

The objective of this study is to evaluate the performance of different strategies to predict the evolution of credit at Brazilian economy. Time series techniques are used to evaluate the performance of macroeconomic indicators in forecasting out-of-sample behavior of the aggregated and...

General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in the analysis of high-dimensional time series and have been successfully considered in many economic and financial applications. Being second-order models, however, they are sensitive to...