Box-Jenkins Methods: An Alternative to Econometric Models

Thomas H. Naylor · Terry G. Seaks · Dean W. Wichern

174 citations0/0 files storedInternational Statistical Review

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical and numerical algorithms

Abstract

As we look back over the 1960's, it would not be inappropriate to label the 1960's The Age of the Large-Scale Econometric Model. With the advent of the Brookings [12], FRB-MIT [10], OBE [16] and Wharton [14] econometric models of the economy of the United States, the name of the game was How many equations are there in your model? Some initial success in forecasting the behaviour of the U.S. economy with their big models generated a spirit of optimism on the part of econometricians. For example, Klein and Evans [14] had this to say about their model, The past record in forecasting provides sound judgment for the view that we have a model which is thoroughly in tune with the current short-run state of the U.S. economy. This analysis gives us confidence in applying the system to a wide variety of problems in the analysis of economic theory and policy. But as the 1960s drew to a close, some econometricians were beginning to express some doubts about the predictive capabilities of the large-scale models. For example, Cooper and Jorgenson concluded that,

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References

1977Time Series Analysis: Forecasting and Control 1970Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables 1968Some Recent Advances in Forecasting and Control 1972Computer Simulation Experiments with Models of Economic Systems

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