An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates

George Kapetanios and Fotis Papailias ()

No ESCOE-TR-17, Economic Statistics Centre of Excellence (ESCoE) Technical Reports from Economic Statistics Centre of Excellence (ESCoE)

Abstract: National statistics offices and similar institutions often produce country indices which are based on the aggregation of large number of disaggregate series. In some cases these disaggregate series are also published and, therefore, are available to be used for further research. In other cases the disaggregate series are available only for in-house purposes and are still under research on whether more indices could be extracted. This report is concerned with the very specific task of comparing gains in nowcasting using a single aggregate variable/index versus the full use of all the available disaggregate indices. This approach should be viewed as part of an overall dataset assessment framework where our aim is to assist the applied statistician on whether a novel dataset of time series could be useful to economics researchers

Keywords: factor models; neural networks; nowcasting; penalised regression; support vector regression (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Date: 2022-05
New Economics Papers: this item is included in nep-cmp, nep-for and nep-mac
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Citations: View citations in EconPapers (1)

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