Abstract
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).
Keywords
Box–JenkinsAutoregressive integrated moving averageUnivariateSeries (stratigraphy)Component (thermodynamics)EconometricsTime seriesSeasonal adjustmentStatisticsMathematicsMultivariate statistics
Affiliated Institutions
Related Publications
Regression and time series model selection in small samples
A bias correction to the Akaike information criterion, AIC, is derived for regression and autoregressive time series models. The correction is of particular use when the sample ...
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressi...
Introduction to Econometrics
Foreword. Preface to the Second Edition. Preface to the Third Edition. Obituary. INTRODUCTION AND THE LINEAR REGRESSION MODEL. What is Econometrics? Statistical Background and M...
Why Does Stock Market Volatility Change Over Time?
ABSTRACT This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, economic activity, financial leverage, and stock trading activity u...
Filtering of Milankovitch Cycles by Earth's Geography
Abstract Earth's land-sea distribution modifies the temperature response to orbitally induced perturbations of the seasonal insolation. We examine this modification in the frequ...
Publication Info
- Year
- 1983
- Type
- article
- Volume
- 1
- Issue
- 4
- Pages
- 299-307
- Citations
- 271
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
271
OpenAlex
Cite This
Andrew Harvey,
P. H. J. Todd
(1983).
Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study.
Journal of Business and Economic Statistics
, 1
(4)
, 299-307.
https://doi.org/10.1080/07350015.1983.10509355
Identifiers
- DOI
- 10.1080/07350015.1983.10509355