When is an aggregate of a time series efficiently forecast by its past

By Robert Kohn. 1982

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. R. Giacomini
2. Clive W. J. Granger
3. Andrew J. Patton
4. B. Candelon
5. Tae-Hwy Lee
6. Barbara Rossi
7. Muhammad Shahbaz
8. Cees G. H. Diks

Citations in the corpus

• Aggregation of Space-Time Processes (2001, methodology): “Kohn (1982) shows that the equality of MSE in Proposition 1b holds for a general gaussian, stationary VAR(p) process B(L)xt = � t if and only if”
• Forecasting Euro Area Inflation: Does Aggregating Forecasts by Hicp Component Improve Forecast Accuracy? (2003, unknown): “Another strand of the theoretical literature has focussed on the effect of contemporaneous aggregation on forecasting accuracy, for example Rose (1977), Tiao & Guttman (1980), Wei & Abraham (1981), Kohn (1982) and Lütkepohl (1984a, b, 1987).”