Forecasting contemporaneous aggregates and the combination of forecasts: The case of the U.K. monetary aggregates

A number of papers in recent years have investigated the problems of forecasting contemporaneously aggregated time series and of combining alternative forecasts of a time series. This paper considers the integration of both approaches within the example of assessing the forecasting performance of models for two of the U.K. monetary aggregates, £M3 and MO. It is found that forecasts from a time series model for aggregate £M3 are superior to aggregated forecasts from individual models fitted to either the components or counterparts of £M3 and that an even better forecast is obtained by forming a linear combination of the three alternatives. For MO, however, aggregated forecasts from its components prove superior to either the forecast from the aggregate itself or from a linear combination of the two.     

K. Triantafyllopoulos,J. Pikoulas, ‘Multivariate Bayesian regression applied to the problem of network security’. Journal of Forecasting 21(8): 579–594 (2002)

The original article to which this Erratum refers was published in the Journal of Forecasting 21 (8): 579–594 (2002).