Australian Gross Domestic Product (GDP) application, Di Fonzo and Girolimetto (2021)

The cross-temporal forecast reconciliation for 95 Australian Quarterly National Accounts time series is applied within the same forecasting experiment designed by Athanasopoulos et al. (2019) extended in order to consider semi-annual and annual forecasts as well.

Keywords: Linearly constrained multiple time series, Combining forecasts, Heuristic techniques, Evaluating forecasts, GDP from Income and Expenditure side

R scripts:

• 00Aus_base.R: aggregating and forecasting Australian GDP Time series by quarter, semester and year (input: AusGDP_inpdata.RData, output: Aus_basef.RData);

• 01AusHTS_recf.R: creating an RData file of base and cross-sectional reconciled forecasts for the Australian GDP’s system (input: Aus_basef.RData, output: AusHTS_recf.RData)

• 02AusHTS_scores.R: Accuracy indices for the cross-sectional reconciled forecasts for Australian GDP time series by quarter, semester and year. (input: AusHTS_recf.RData, output: AusHTS_scores.RData)

• 03AusTMP_recf.R: Creating an RData file of base and reconciled forecasts for each time series in the Australian GDP’s system (input: Aus_basef.RData, output: AusTMP_recf.RData)

• 04AusTMP_scores.R: Accuracy indices for the temporal reconciled forecasts for Australian GDP time series by quarter, semester and year (input: AusTMP_recf.RData, output: AusTMP_scores.RData)

• 05AusCTR_recf.R: Reconcile forecasts with the heuristic of Kourentzes & Athanasopoulos (2019) and the Optimal Cross-Temporal approach. (input: AusGDP_inpdata.RData & Aus_basef.RData, output: AusCTR_recf.RData)

• 06AusCTR_scores.R: Accuracy indices for the cross-temporal reconciled forecasts for Australian GDP time series by quarter, semester and year (input: AusCTR_recf_part1.RData & AusCTR_recf_part2.RData, output: AusCTR_scores.RData)

• 07Aus_horizon.R: Focus on performance by forecast horizon (input: AusCTR_recf.RData, AusHTS_recf.RData and AusTMP_recf.RData, output: Aus_horizon.RData)

• 08Aus_mcb.R: Model Comparison with the Best Dataset (input: AusCTR_recf.RData, AusHTS_recf.RData and AusTMP_recf.RData, output: Aus_mcb.RData)

• 09Aus_mcbPlot.R: Model Comparison with the Best (input: Aus_mcb.RData)

• 10Aus_plotWP.R: Plots of the paper (input: AusCTR_scores.RData, AusHTS_scores.RData & AusTMP_scores.RData)

References:

Athanasopoulos, G., Gamakumara, P., Panagiotelis, A., Hyndman, R.J., Affan, M., 2019. Hierarchical Forecasting, in: Fuleky, P. (Ed.), Macroeconomic Forecasting in the Era of Big Data. Springer, Cham, pp. 689–719. doi:10.1007/978-3-030-31150-6_21.

Di Fonzo, T., Girolimetto, D. (2021), Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives, International Journal of Forecasting, in press (draft version: arXiv:2006.08570).