Summary
A number of procedures for forecasting a time series from its own current and past values are surveyed. Forecasting performances of three methods—Box‐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.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.