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The forecasting power of real interest rate gaps: an assessment for the Euro area

✍ Scribed by Mésonnier, Jean-Stéphane

Book ID
126767089
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
271 KB
Volume
43
Category
Article
ISSN
0003-6846

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Forecasting Aggregated Moving Average Pr
Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate
✍ Giacomo Sbrana 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 120 KB

## ABSTRACT This paper focuses on the contemporaneous aggregation of moving average processes. It is shown that aggregating across second (or first)‐order (integrated) moving average processes leads to a macro process whose parameters are exact functions of the parameters of its generation process.