IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v10y1989i4p301-314.html
   My bibliography  Save this article

The Predictive Performance Of Three Autoregressive Moving‐Average Models:A Monte Carlo Investigation

Author

Listed:
  • John T. Batts
  • Robert F. McNown

Abstract

. The relative accuracy of point and interval forecasts from three related autoregressive moving‐average (ARMA) models—multivariate, univariate, and transfer function—is evaluated in this study. It is found that the multivariate models produce the most accurate one‐ and three‐step‐ahead point forecasts of nonindependent series. However, the most accurate point forecasts of independent series are generated by the univariate models. Compared with the multivariate models, the transfer function predictions are relatively unreliable, but with the appropriate restrictions they are superior to the univariate forecasts in certain cases. Interval forecasts from the correctly specified models are reliable indicators of forecast dispersion.

Suggested Citation

  • John T. Batts & Robert F. McNown, 1989. "The Predictive Performance Of Three Autoregressive Moving‐Average Models:A Monte Carlo Investigation," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(4), pages 301-314, July.
    • Handle: RePEc:bla:jtsera:v:10:y:1989:i:4:p:301-314
    DOI: 10.1111/j.1467-9892.1989.tb00030.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1989.tb00030.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1989.tb00030.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:10:y:1989:i:4:p:301-314. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.