Forecasting accounting data: A multiple time‐series analysis

This paper examines the relative forecasting performance of multivariate time-series analysis. One hundred consecutive monthly observations for three accounting series were obtained from a manufacturing division of a large corporation. Regression, univariate time-series, transfer-function, and multiple time-series models were identified, estimated, and used to forecast each accounting series. The multiple time-series model yielded the smallest forecast variances.

[1]  D. Mehta,et al.  Predictive Ability and Descriptive Validity of Earnings Forecasting Models , 1980 .

[2]  William S. Hopwood,et al.  The Transfer Function Relationship between Earnings and Market-Industry Indices: An Empirical Study , 1978 .

[3]  T. W. Anderson,et al.  An Introduction to Multivariate Statistical Analysis , 1959 .

[4]  Steven C. Hillmer,et al.  Analysis and Modeling of Seasonal Time Series , 1978 .

[5]  R. Miller,et al.  Multivariate Time Series Analysis of Bank Financial Behavior , 1978 .

[6]  E. J. Hannan,et al.  Multiple time series , 1970 .

[7]  C. Nelson.  Gains in efficiency from joint estimation of systems of autoregressive-moving average processes , 1976 .

[8]  David Allan Umstead.  Forecasting Stock Market Prices , 1977 .

[9]  G. C. Tiao,et al.  Modeling Multiple Time Series with Applications , 1981 .

[10]  Lawrence D. Brown,et al.  Univariate Time-Series Models of Quarterly Accounting Earnings per Share: A Proposed Model , 1979 .

[11]  George E. P. Box,et al.  Intervention Analysis with Applications to Economic and Environmental Problems , 1975 .

[12]  Gwilym M. Jenkins,et al.  Time series analysis, forecasting and control , 1972 .

[13]  Kenneth S. Lorek,et al.  "A Note on the Time-series Properties of control data in an accounting environment" , 1979 .

[14]  Gerald L. Salamon,et al.  Estimation and Forecast Performance of a Multivariate Time Series Model of Sales , 1980 .

[15]  Paul A. Griffin,et al.  Time-Series Behavior Of Quarterly Earnings - Preliminary Evidence , 1977 .

[16]  G. C. Tiao,et al.  A canonical analysis of multiple time series , 1977 .

[17]  Steven C. Hillmer,et al.  Likelihood Function of Stationary Multiple Autoregressive Moving Average Models , 1979 .