Forecasting Aggregated Vector ARMA Processes

  • Helmut Lütkepohl

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 284)

Table of contents

  1. Front Matter
    Pages I-X
  2. Helmut Lütkepohl
    Pages 1-5
  3. Helmut Lütkepohl
    Pages 6-48
  4. Helmut Lütkepohl
    Pages 49-96
  5. Helmut Lütkepohl
    Pages 224-257
  6. Helmut Lütkepohl
    Pages 258-308
  7. Helmut Lütkepohl
    Pages 309-312
  8. Back Matter
    Pages 313-327

About this book


This study is concerned with forecasting time series variables and the impact of the level of aggregation on the efficiency of the forecasts. Since temporally and contemporaneously disaggregated data at various levels have become available for many countries, regions, and variables during the last decades the question which data and procedures to use for prediction has become increasingly important in recent years. This study aims at pointing out some of the problems involved and at pro­ viding some suggestions how to proceed in particular situations. Many of the results have been circulated as working papers, some have been published as journal articles, and some have been presented at conferences and in seminars. I express my gratitude to all those who have commented on parts of this study. They are too numerous to be listed here and many of them are anonymous referees and are therefore unknown to me. Some early results related to the present study are contained in my monograph "Prognose aggregierter Zeitreihen" (Lutkepohl (1986a)) which was essentially completed in 1983. The present study contains major extensions of that research and also summarizes the earlier results to the extent they are of interest in the context of this study.


Likelihood efficiency forecasting regression stochastic processes

Authors and affiliations

  • Helmut Lütkepohl
    • 1
  1. 1.Institut für Statistik und ÖkonometrieUniversität HamburgHamburg 13Germany

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1987
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-17208-6
  • Online ISBN 978-3-642-61584-9
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site