Abstract
A number of procedures for forecasting a time series from its own current and past values are surveyed. Forecasting performances of three methodsBox-Jenkins, Holt-Winters and stepwise autoregression-are compared over a large sample of economic time series. The possibility of combining individual forecasts in the production of an overall forecast is explored, and we present empirical results which indicate that such a procedure can frequently be profitable.
Keywords
UnivariateSeries (stratigraphy)Consensus forecastEconometricsTime seriesSample (material)Computer scienceStatisticsEconomicsMathematicsMultivariate statistics
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Publication Info
- Year
- 1974
- Type
- article
- Volume
- 137
- Issue
- 2
- Pages
- 131-131
- Citations
- 831
- Access
- Closed
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Cite This
Paul Newbold,
Clive W. J. Granger
(1974).
Experience with Forecasting Univariate Time Series and the Combination of Forecasts.
Journal of the Royal Statistical Society Series A (General)
, 137
(2)
, 131-131.
https://doi.org/10.2307/2344546
Identifiers
- DOI
- 10.2307/2344546