Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for such variables, including univariate forecasts of the aggregate, a multivariate forecast of the aggregate that uses information from the disaggregated components, a forecast which aggregates a multivariate forecast of the disaggregate components and the aggregation weights, and a forecast ...
For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis, this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the original series are compared to forecasts based on logs. For a range of economic variables, substantial forecasting ...
Changes in residual volatility are often used for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. The different volatility models are reviewed and their advantages and drawbacks are indicated. An application investigating the interaction ...