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Comparing aggregate and disaggregate forecasts of first order moving average models

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Sbrana, Giacomo [Université de Strasbourg] Silvestrini, Andrea [UCL]

This paper compares the performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously aggregated vector MA(1) processes. The necessary and sufficient condition for the equality of mean squared errors associated with the two competing predictors is provided in the bivariate MA(1) case. Furthermore, it is argued that the condition of equality of predictors as stated by Lütkepohl (Forecasting aggregated vector ARMA processes, Springer, Berlin, 1987) is only sufficient (not necessary) for the equality of mean squared errors. Finally, it is shown that the equality of forecasting accuracy for the two predictors can be achieved using specific assumptions on the parameters of the vector MA(1) structure. © 2010 Springer-Verlag.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2012
Language Anglais
Journal information "Statistical Papers" - Vol. 53, no. 2, p. 255-263 (2012)
Peer reviewed yes
Publisher Springer
e-issn 1613-9798
issn 0932-5026
Publication status Publié
Affiliation UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
Links
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Bibliographic reference Sbrana, Giacomo ; Silvestrini, Andrea. Comparing aggregate and disaggregate forecasts of first order moving average models. In: Statistical Papers, Vol. 53, no. 2, p. 255-263 (2012)
Permanent URL http://hdl.handle.net/2078.1/160997