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A mixed splicing procedure for economic time series

Fuente, Ángel de la - 2009

This note develops a flexible methodology for splicing economic time series that avoids the extreme assumptions implicit in the procedures most commonly used in the literature. It allows the user to split the required correction to the older of the series being linked between its levels and...

Persistent link: https://www.econbiz.de/10003922946

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These … examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare … results allow us to differentiate between spurious contemporaneous correlation arising because of aggregation, and true …

Persistent link: https://www.econbiz.de/10009578029

Temporal disaggregation of time series : a review

Pavía, Jose M. - 2012

Persistent link: https://www.econbiz.de/10009579898

Flexible modeling of dependence in volatility processes

Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113

Persistent link: https://www.econbiz.de/10011389911

Exploiting the monthly data flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015

This paper develops a framework that allows us to combine the tools provided by structural models for economic interpretation and policy analysis with those of reduced-form models designed for nowcasting. We show how to map a quarterly dynamic stochastic general equilibrium (DSGE) model into a...

Persistent link: https://www.econbiz.de/10011399325

Improving forecasting by estimating time series structural components across multiple frequencies

Kourentzes, Nikolaos; Petropoulos, Fotios; Trapero, Juan R. - In: International journal of forecasting 30 (2014) 2, pp. 291-302

Persistent link: https://www.econbiz.de/10010510908

Comments on "A comparison of mixed frequency approaches for nowcasting euro area macroeconomic aggregates"

Sestieri, Giulia - In: International journal of forecasting 30 (2014) 3, pp. 569-571

Persistent link: https://www.econbiz.de/10010513609

Non-stationary demand forecasting by cross-sectional aggregation

Rostami-Tabar, Bahman; Babai, M. Zied; Ducq, Yves; … - In: International journal of production economics 170 (2015), pp. 297-309

Persistent link: https://www.econbiz.de/10011421897

Internal validation of temporal disaggregation : a cloud chamber approach

Müller-Kademann, Christian - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 3, pp. 298-319

Persistent link: https://www.econbiz.de/10011431516

Hybrid forecasting with estimated temporally aggregated linear processes

Grigoryeva, Lyudmila; Ortega, Juan-Pablo - In: Journal of forecasting 33 (2014) 8, pp. 577-595

Persistent link: https://www.econbiz.de/10011282858