论文信息 - Experience with Forecasting Univariate Time Series and the Combination of Forecasts

Experience with Forecasting Univariate Time Series and the Combination of Forecasts

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.

C. Granger | P. Newbold

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