Comparing aggregate and disaggregate forecasts of first order moving average models |
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Authors: | Giacomo Sbrana Andrea Silvestrini |
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Institution: | 1.Université de Strasbourg, Bureau d’économie Théorique et Appliquée (BETA),Strasbourg Cedex,France;2.Bank of Italy, Economics, Research and International Relations Area,Rome,Italy;3.Université catholique de Louvain, CORE,Louvain-la-Neuve,Belgium |
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Abstract: | This paper compares the performance of “aggregate” and “disaggregate” predictors in forecasting contemporaneously aggregated
vector MA(1) processes. The necessary and sufficient condition for the equality of mean squared errors associated with the
two competing predictors is provided in the bivariate MA(1) case. Furthermore, it is argued that the condition of equality
of predictors as stated by Lütkepohl (Forecasting aggregated vector ARMA processes, Springer, Berlin, 1987) is only sufficient
(not necessary) for the equality of mean squared errors. Finally, it is shown that the equality of forecasting accuracy for
the two predictors can be achieved using specific assumptions on the parameters of the vector MA(1) structure. |
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