相关论文: Fully reconciled GDP forecasts from Income and Exp…

Forecast reconciliation is the post-forecasting process aimed to revise a set of incoherent base forecasts into coherent forecasts in line with given data structures. Most of the point and probabilistic regression-based forecast…

Forecast reconciliation is a post-forecasting process aimed to improve the quality of the base forecasts for a system of hierarchical/grouped time series (Hyndman et al., 2011). Contemporaneous (cross-sectional) and temporal hierarchies…

Linearly constrained multiple time series may be encountered in many practical contexts, such as the National Accounts (e.g., GDP disaggregated by Income, Expenditure and Output), and multilevel frameworks where the variables are organized…

Growth rate of real GDP per capita, GDPpc, is represented as a sum of two components, a monotonically decreasing economic trend and fluctuations related to population change. The economic trend is modelled by an inverse function of GDPpc…

Forecast reconciliation is a post-forecasting process that involves transforming a set of incoherent forecasts into coherent forecasts which satisfy a given set of linear constraints for a multivariate time series. In this paper we extend…

Recent years have seen many attempts to combine expenditure-side estimates of U.S. real output (GDE) growth with income-side estimates (GDI) to improve estimates of real GDP growth. We show how to incorporate information from multiple…

UK GDP data is published with a lag time of more than a month and it is often adjusted for prior periods. This paper contemplates breaking away from the historic GDP measure to a more dynamic method using Bank Account, Cheque and Credit…

In a recent paper, while elucidating the links between forecast combination and cross-sectional forecast reconciliation, Hollyman et al. (2021) have proposed a forecast combination-based approach to the reconciliation of a simple hierarchy.…

The practical importance of coherent forecasts in hierarchical forecasting has inspired many studies on forecast reconciliation. Under this approach, so-called base forecasts are produced for every series in the hierarchy and are…

A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models…

This paper presents a formal framework and proposes algorithms to extend forecast reconciliation to discrete-valued data to extend forecast reconciliation to discrete-valued data, including low counts. A novel method is introduced based on…

In numerous applications, it is required to produce forecasts for multiple time-series at different hierarchy levels. An obvious example is given by the supply chain in which demand forecasting may be needed at a store, city, or country…

Aggregation constraints, arising from geographical or sectoral division, frequently emerge in a large set of time series. Coherent forecasts of these constrained series are anticipated to conform to their hierarchical structure organized by…

Mortality rates are often disaggregated by different attributes, such as sex, state, education, religion or ethnicity. Forecasting mortality rates at the national and sub-national levels plays an important role in making social policies…

In this paper we use Gaussian Process (GP) regression to propose a novel approach for predicting volatility of financial returns by forecasting the envelopes of the time series. We provide a direct comparison of their performance to…

By integrating survival analysis, machine learning algorithms, and economic interpretation, this research examines the temporal dynamics associated with attaining a 5 percent rise in purchasing power parity-adjusted GDP per capita over a…

The growth rate of real GDP per capita in the biggest OECD countries is represented as a sum of two components - a steadily decreasing trend and fluctuations related to the change in some specific age population. The long term trend in the…

This paper aims to examine the use of sparse methods to forecast the real, in the chain-linked volume sense, expenditure components of the US and EU GDP in the short-run sooner than the national institutions of statistics officially release…

Forecast reconciliation is an important research topic. Yet, there is currently neither formal framework nor practical method for the probabilistic reconciliation of count time series. In this paper we propose a definition of coherency and…

The dependence of world GDP on current energy consumption and total energy produced over the previous period and materialized in the form of production infrastructure is studied. The dependence describes empirical data with high accuracy…