disaggregate information

Forecasting Economic Aggregates by Disaggregates

JEL codes: 
C51, C53, E31
Version Date: 
Jan 2006

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in forecasting the aggregate.

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