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Empirical Economics

, Volume 49, Issue 1, pp 363–387 | Cite as

Asymmetric time aggregation and its potential benefits for forecasting annual data

  • Robert M. Kunst
  • Philip Hans Franses
Article
  • 140 Downloads

Abstract

For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an activity timescale instead of calendar time. Such a scheme may strike a balance between annual modeling (which processes little information) and modeling at the finest available frequency (which may lead to an excessive parameter dimension), and it may also outperform modeling calendar time units (with some months or quarters containing more information than others). We suggest an algorithm that performs an approximate inversion of the inherent seasonal time deformation. We illustrate the procedure using two exemplary weekly time series.

Keywords

Seasonality Forecasting Time deformation Time series 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.Institute for Advanced StudiesViennaAustria
  2. 2.University of ViennaViennaAustria
  3. 3.Erasmus University RotterdamRotterdamThe Netherlands

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