Hierarchical Forecasting

George Athanasopoulos; Puwasala Gamakumara; Anastasios Panagiotelis; Rob J. Hyndman; Mohamed Affan

doi:10.1007/978-3-030-31150-6_21

Hierarchical Forecasting

George Athanasopoulos, Puwasala Gamakumara, Anastasios Panagiotelis, Rob J. Hyndman, Mohamed Affan

Econometrics & Business Statistics

Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review

19 Citations (Scopus)

Abstract

Accurate forecasts of macroeconomic variables are crucial inputs into the decisions of economic agents and policy makers. Exploiting inherent aggregation structures of such variables, we apply forecast reconciliation methods to generate forecasts that are coherent with the aggregation constraints. We generate both point and probabilistic forecasts for the first time in the macroeconomic setting. Using Australian GDP we show that forecast reconciliation not only returns coherent forecasts but also improves the overall forecast accuracy in both point and probabilistic frameworks.

Original language	English
Title of host publication	Macroeconomic Forecasting in the Era of Big Data
Subtitle of host publication	Theory and Practice
Editors	Peter Fuleky
Place of Publication	Cham Switzerland
Publisher	Springer
Chapter	21
Pages	689-719
Number of pages	31
Edition	1st
ISBN (Electronic)	9783030311506
ISBN (Print)	9783030311490
DOIs	https://doi.org/10.1007/978-3-030-31150-6_21
Publication status	Published - 2020

Publication series

Name	Advanced Studies in Theoretical and Applied Econometrics
Volume	52
ISSN (Print)	1570-5811
ISSN (Electronic)	2214-7977

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10.1007/978-3-030-31150-6_21

Cite this

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Hierarchical Forecasting. / Athanasopoulos, George; Gamakumara, Puwasala; Panagiotelis, Anastasios et al.
Macroeconomic Forecasting in the Era of Big Data: Theory and Practice. ed. / Peter Fuleky. 1st. ed. Cham Switzerland: Springer, 2020. p. 689-719 (Advanced Studies in Theoretical and Applied Econometrics; Vol. 52).

Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review

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AU - Hyndman, Rob J.

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Hierarchical Forecasting

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