Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study
比较了基本结构模型和Box-Jenkins的ARIMA模型在预测六个英国宏观经济时间序列上的表现，发现结构模型有一定优势。
The basic structural model is a univariate time series model consisting of a slowly changing trend component, a slowly changing seasonal component, and a random irregular component. It is part of a class of models that have a number of advantages over the seasonal ARIMA models adopted by Box and Jenkins (1976). This article reports the results of an exercise in which the basic structural model was estimated for six U.K. macroeconomic time series and the forecasting performance compared with that of ARIMA models previously fitted by Prothero and Wallis (1976).