Box-Jenkins Methoden - Alternative Verfahren zur Prognose ökonomischer Zeitreihen

Abstract

In this paper we try to clarify whether the use of Box-Jenkins methods would have improved the forecasting performance in Austria during the recession of 1975. For this purpose we estimate ARIMA models for gross national product, private consumption, investment in plant and equipment, and inventory investment. We then compare the forecasts derived from these models with the results of more convential forecasting techniques. It can not be expected that Box-Jenkins methods predict a business cycle turning point. But, as soon as the recession was under way Box-Jenkins methods were faster in adapting to the new situation than conventional forecasting techniques. We found that the accuracy of Box-Jenkins predictions depends to a large extent on the length of the forecasting horizon. Our results suggest that the forecasting horizon should not exceed one year. All in all, Box-Jenkins methods applied together with the forecasting techniques already in use could further improve the forecasting performance. © 1977 Gustav Fischer.