Forecasting Economic Time Series With Structural and Box-Jenkins Models
A Case Study
Bibliographic Data
| ID | 19418334 |
|---|---|
| Authors | Andrew Harvey (0000-0003-3659-4704, London School of Economics and Political Science), A C Harvey, P H J Todd (His Majesty's Treasury) |
| Year | 1983 |
| Volume | 1 |
| Issue | 4 |
| Pages | 299-307 |
| Publication date | 1983-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1983.10509355 |
| OpenAlex | W2094050728 |
| Language | EN |
| Citations received | 25 |
| References cited | 12 |
The basic structural model is a univariate time series model consisting of a slowly changing trend component, a slowly changing seasonal component, and a random irregular component. It is part of a class of models that have a number of advantages over the seasonal ARIMA models adopted by Box and Jenkins (1976). This article reports the results of an exercise in which the basic structural model was estimated for six U.K. macroeconomic time series and the forecasting performance compared with that of ARIMA models previously fitted by Prothero and Wallis (1976)
Autoregressive integrated moving average · Box–Jenkins · Econometrics · Multivariate statistics · Seasonal adjustment · Statistics · Time series · Univariate · Forecasting Techniques and Applications · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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| Unique citing works | 25 |
|---|---|
| Citations per year | 0,61 |
| Citation span | 1985 - 2021 (37) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 19 |