Aggregation of space-time processes.

DOI10.1016/S0304-4076(03)00132-5MaRDI QIDQ1421310zbMATH OpenOpenAlexFDO

Authors Raffaella Giacomini, Clive W. J. Granger

Publication date 26 January 2004

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(03)00132-5, http://fmwww.bc.edu/EC-P/wp582.pdf

zbMATH Keywords

AggregationForecast efficiencySpace-time modelsSpatial correlationVAR

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from spatial processes (62M30) Applications of statistics to economics (62P20)

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Cites work

• A Three-Stage Iterative Procedure for Space-Time Modeling
• Blur-generated non-separable space–time models
• Contracting in space: An application of spatial statistics to discrete-choice models
• Econometric Analysis of Aggregation in the Context of Linear Prediction Models
• Estimation and Prediction from Aggregate Data when Aggregates are Measured More Accurately than Their Components
• Fitting autoregressive models for prediction
• Forecasting aggregated vector ARMA processes
• Forecasting and conditional projection using realistic prior distributions
• Forecasting contemporal time series aggregates
• scientific article; zbMATH DE number 3843029 (Why is no real title available?)
• Long memory relationships and the aggregation of dynamic models
• Predictions from ARMAX models
• Predictions of multivariate autoregressive-moving average models
• When is an aggregate of a time series efficiently forecast by its past?

Cited in

(20)

• Memory properties and aggregation of spatial autoregressive models
• The information content of regional employment data for forecasting aggregate conditions
• Clustering space-time series: FSTAR as a flexible STAR approach
• Forecasting electricity demand in Japan: a Bayesian spatial autoregressive ARMA approach
• Aggregation in large dynamic panels
• Spatial and temporal averaging windows and their impact on forecasting: exactly solvable examples
• Forecasting the unemployment rate over districts with the use of distinct methods
• Nonlinear cointegrating regression under weak identification
• How helpful are spatial effects in forecasting the growth of Chinese provinces?
• scientific article; zbMATH DE number 3885171 (Why is no real title available?)
• Bayesian variable selection in a large vector autoregression for origin-destination traffic flow modelling
• Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
• Testing for poolability of the space-time autoregressive moving-average model
• Wind energy: forecasting challenges for its operational management
• On estimation of parameters for spatial autoregressive model
• An estimation method for switching points of multimode spatiotemporal data based on SFSTAR
• Consistency and asymptotic normality of least squares estimators in generalized STAR models
• Using spatial contiguity as prior information in vector autoregressive models
• On unit roots for spatial autoregressive models
• Forecasting the path of China's CO\(_2\) emissions using province-level information

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