An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates (ESCoE TR-17)

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An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates (ESCoE TR-17)

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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