Forecasting Contemporaneously Aggregated Estimated Processes

Abstract

In the previous chapter three predictors have been compared for a contemporaneously aggregated vector stochastic process. The first predictor is obtained by aggregating the forecasts based on the original process. The second predictor results from forecasting the aggregate process directly based on the aggregate variables. Finally, the third predictor is obtained from aggregating univariate forecasts of the individual components of the disaggregate process. The comparison has been carried out under the assumption that the predictors are based on known processes.