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Forecasting contemporaneous aggregates and the combination of forecasts: The case of the U.K. monetary aggregates
Authors:Terence C Mills  Michael J Stephenson
Abstract: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.
Keywords:Contemporaneously aggregated time series  Combination of forecasts  Time series models U  K  money supply
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