Variables aggregation-source of uncertainty in forecasting
Variables aggregation-source of uncertainty in forecasting
Author(s): Mihaela Bratu (Simionescu)Subject(s): Supranational / Global Economy, Policy, planning, forecast and speculation, Transformation Period (1990 - 2010), Present Times (2010 - today)
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: source of uncertainty; forecasts; accuracy; disaggregation over variables; strategy of prediction; Diebold Mariano test; combined forecasts;
Summary/Abstract: The GDP forecasting presents a particularity resulted from the fact that this macroeconomic indicator can be analyzed in its quality of aggregate. Therefore, the GDP can be predicted directly using an econometric model with lagged variables represented by the aggregate component. On the other hand, the same GDP can be predicted by aggregating the forecasts of its components. The aim of this study is to find out which strategy generates the most accurate one-step-ahead prediction and if combined forecasts can be a solution of improving the forecasts accuracy. Starting from the GDP oneyear-ahead predictions made for 2009-2011 using the two strategies, measures of accuracy were calculated and the directly predicted GDP are better than those based on aggregating the components using constant and variable weights. Combined forecasts did not improve the accuracy of the predictions based on the mentioned strategies. This research is a good proof for putting the basis of considering the variables aggregation as an important source of uncertainty in forecasting.
Journal: Analele Ştiinţifice ale Universităţii »Alexandru Ioan Cuza« din Iaşi. Ştiinţe economice
- Issue Year: 59/2012
- Issue No: 2
- Page Range: 1-13
- Page Count: 13
- Language: English