On the Predictive Performance of the BEA Quarterly Econometric Model and a Box-Jenkins Type Arima Model.
GEORGE WASHINGTON UNIV WASHINGTON D C INST FOR MANAGEMENT SCIENCE AND ENGINEERING
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This paper compares the predictive performance of the BEA quarterly econometric model with that of a parsimonious Box-Jenkins type autogressive integrated moving average model for univariate time series analysis. For this purpose, GNP is the variable of interest. This paper complements that by C. R. Nelson 1972 on the predictive performance of the FRB-MIT-PENN model versus Box-Jenkins type models, and that by T. H. Naylor, et al. 1972 on the Wharton model versus Box-Jenkins type models.
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