On the use of area-wide models in the Euro-zone

Sbrana, Giacomo

doi:10.1007/s10260-007-0074-4

Cited by 2 publications

(2 citation statements)

References 26 publications

(36 reference statements)

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“…(), Hsiao et al. (), Hubrich () and Sbrana (), has mainly focused on those two alternatives. It is then worth focusing on the consequences of adopting these suboptimal procedures in terms of forecasting accuracy.…”

Section: Forecastingmentioning

confidence: 99%

“…The remaining alternatives are suboptimal procedures since 2 ii 2 i and 2 iii 2 i (for a clear exposition see Lütkepohl, 1987, chapter 4). Yet the recent empirical literature, such as Marcellino et al (2003), Baffigi et al (2004), Hsiao et al (2005), Hubrich (2005) and Sbrana (2008), has mainly focused on those two alternatives. It is then worth focusing on the consequences of adopting these suboptimal procedures in terms of forecasting accuracy.…”

Section: Forecastingmentioning

confidence: 99%

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Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate

Sbrana

2011

Journal of Forecasting

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This paper focuses on the contemporaneous aggregation of moving average processes. It is shown that aggregating across second (or first)-order (integrated) moving average processes leads to a macro process whose parameters are exact functions of the parameters of its generation process. Similar results are obtained at single equation level when a vector moving average framework is considered. In addition, the out-of-sample forecasting properties of aggregate and disaggregate procedures to forecast the aggregate variable are provided. Moreover, it is shown that the condition of equality of aggregate and disaggregate predictors is not necessary for the equality of their mean squared errors. Finally, an application to the euro area real interest rate is presented and discussed.

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Section: Forecastingmentioning

confidence: 99%