Access

You are not currently logged in.

Access JSTOR through your library or other institution:

login

Log in through your institution.

Journal Article

A Look at the Stationarity of 14 Quarterly U.S. Economic Time Series

A. P. Andersen and H. Nelson
The Journal of the Operational Research Society
Vol. 31, No. 4 (Apr., 1980), pp. 353-358
DOI: 10.2307/2581629
Stable URL: http://www.jstor.org/stable/2581629
Page Count: 6
Were these topics helpful?
See somethings inaccurate? Let us know!

Select the topics that are inaccurate.

Cancel
  • Subscribe ($19.50)
  • Add to My Lists
  • Cite this Item
A Look at the Stationarity of 14 Quarterly U.S. Economic Time Series
Preview not available

Abstract

Application of single series time series methods has become very popular, due, in particular, to the short term forecasting abilities of such models. This is particularly true of the Box-Jenkins linear models. In this paper, the relationship between the forecasting ability and the number of data points used in the estimation of Box-Jenkins models, for 14 economic time series, is considered, with the result that in a large number of cases, there is very little gain in analysing long historical records. In fact, it is possible that forecasting ability may be impaired if too many observations are considered.

Page Thumbnails

  • Thumbnail: Page 
353
    353
  • Thumbnail: Page 
354
    354
  • Thumbnail: Page 
355
    355
  • Thumbnail: Page 
356
    356
  • Thumbnail: Page 
357
    357
  • Thumbnail: Page 
358
    358