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Volume 19 - December 1982

Contents

Page 9 of 9

Part 7 — Time Series

  • Time series modelling — an integrated approach

  • Don McNeil
  • Published online by Cambridge University Press:
    14 July 2016, pp. 413-425

  • 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.

Front matter

  • JPR volume 19 issue 3 Cover and Front matter

  • Published online by Cambridge University Press:
    14 July 2016, pp. f1-f2
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Back matter

  • JPR volume 19 issue 3 Cover and Back matter

  • Published online by Cambridge University Press:
    14 July 2016, pp. b1-b6
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Front Matter

Back Matter

Page 9 of 9