Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study
Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study
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使用结构模型和 Box-Jenkins 模型预测经济时间序列：案例研究
DOI：
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发表时间：
1983
期刊：
影响因子：
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通讯作者：
P. Todd
中科院分区：
文献类型：
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作者：
A. Harvey;P. Todd
基本结构模型是由缓慢变化的趋势分量、缓慢变化的季节分量和随机不规则分量组成的单变量时间序列模型。它是与Box和Jenkins（1976）采用的季节性ARIMA模型相比具有许多优势的一类模型的一部分。本文报告了一项研究的结果，其中对六个英国宏观经济时间序列的基本结构模型进行了估计，并与Prothero和Wallis（1976）先前拟合的ARIMA模型的预测效果进行了比较。
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).