Hostname: page-component-78c5997874-lj6df Total loading time: 0 Render date: 2024-11-13T22:48:11.696Z Has data issue: false hasContentIssue false
  • English
  • Français

Time series modelling — an integrated approach

Published online by Cambridge University Press:  14 July 2016

Don McNeil
Get access Rights & Permissions [Opens in a new window]

Abstract

Some inadequacies of both the traditional (exponential smoothing) and Box-Jenkins approaches to time series forecasting of economic data are investigated. An approach is suggested which integrates these two methodologies. It is based on smoothing the data using straight line segments instead of differencing to obtain stationarity, and forecasting using an autoregressive-moving-average model for the residuals from the most recent linear segment. The efficiency of this approach is calculated theoretically using a series comprising integrated white noise.

Keywords

TIME SERIESBOX-JENKINSFORECASTINGEXPONENTIAL SMOOTHINGDIFFERENCING
Type
Part 7 — Time Series
Information
Journal of Applied Probability , Volume 19 , Issue A , 1982 , pp. 413 - 425
Copyright
Copyright © 1982 Applied Probability Trust 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Bhattacharya, M. N. and Layton, A. P. (1979) Effectiveness of seat belt legislation on the Queensland road toll — an Australian case study in intervention analyses. J. Amer. Statist. Assoc. 74, 596–603.Google Scholar
Box, G. ?. P. and Jenkins, G. M. (1970) Time Series Analysis, Forecasting and Control. Holden-Day, San Francisco.Google Scholar
Box, G. ?. P. and Jenkins, G. M. (1973) Some comments on a paper by Chatfíeld and Prothero and on a review by Kendall (with a reply by Chatfield and Prothero). J. R. Statist. Soc. A 135, 337–352.Google Scholar
Brown, R. G. (1962) Smoothing, Forecasting and Prediction of Discrete Time Series. Prentice Hall, Englewood Cliffs, NJ.Google Scholar
Chatfield, C. and Prothero, D. L. (1973) Box-Jenkins seasonal forecasting: Problems in a case-study (with discussion). J. R. Statist. Soc. A 136, 295–336.Google Scholar
Granger, C. W. J. and Newbold, P. (1977) Forecasting Economic Time Series. Academic Press, New York.Google Scholar
Hsaio, Cheng (1979) Autoregressive modeling of Canadian money and income data. J. Amer. Statist. Assoc. 74, 553–560.CrossRefGoogle Scholar
Jenkins, G. M. (1979) Practical Experiences with Modelling and Forecasting Time Series. GJP Publications, St. Helier, Jersey.Google Scholar
Pierce, D. A. (1977) Relationships — and the lack thereof — between economic time series, with special reference to money, reserves and interest rates (with discussion). J. Amer. Statist. Assoc. 72, 11–26.Google Scholar
Plosser, C. I. (1979) Short-term forecasting and seasonal adjustment. J. Amer. Statist. Assoc. 74, 15–4.Google Scholar