9433fafa-cb55-4519-8113-d872f051ed65 English MD_CharacterSetCode_utf8 Individual item (e.g. a one-off academic paper or single website) British Geological Survey Contact for the metadata enquiries@bgs.ac.uk pointOfContact 2024-11-07 ISO19115 2003/Cor.1:2006 ARIMA models and the Box Jenkins methodology 2015-10-01 creation 2015-10-01 publication revision third MICA WP3 2017-09-25T10:33:00 Record extracted from Batch 2 spreadsheet MICA_B2-13 https://www.mica-project.eu/ No additional information provided about the dataset A Chapter in the book Applied Econometrics. The purpose of this paper is to study the Box-Jenkins methodology to ARIMA models and determine the reasons why in empirical tests it is found that the post-sample forecasting accuracy of such models is worse than much simpler time series methods. It is concluded that the major problem is the way of making the series stationary in its mean (i.e., the method of differencing) that has been proposed by Box and Jenkins. If alternative approaches are utilized to remove and extrapolate the trend in the data, ARMA models outperform the corresponding methods involved in the great majority of cases. In addition it is shown that using ARMA models to seasonally adjusted data slightly improves post-sample accuracies while simplifying the use of ARMA models. It is also confirmed that transformations slightly improve post-sample forecasting accuracy, particularly for long forecasting horizons. Finally, it is demonstrated that AR(1) and AR(2), or their combination, produce as accurate postsample results as those found through the application of the Box-Jenkins methodology. Website: https://he.palgrave.com/page/detail/Applied-Econometrics/?K=9781137415479 Purpose for data generation is not known Hellenic Open University Contact for the resource described by the metadata Athens Greece https://he.palgrave.com/page/detail/Applied-Econometrics/?K=9781137415479 WWW:LINK-1.0-http--link https://he.palgrave.com/page/detail/Applied-Econometrics/?K=9781137415479 Link for further information on the resource Party that supplies the resource https://resources.bgs.ac.uk/images/minerals/micaGraphic/B2/MICA_B2-13.JPG MICA dataCentre undefined MICA ontology (TemporalScheme) 2 General descriptive information / Report / Other (Report) MICA ontology (DataScheme) 2 Requirement for data generation: Voluntary Method of data or information generation: Academic research Other economic activities GEMET Concepts 2014-07-25 revision 2 Society GEMET Concepts 2014-07-25 revision 2 Consumption MICA ontology (DomainScheme) 2 Investors MICA ontology (DomainScheme) 2 EU industry sectors (Supply) MICA ontology (DomainScheme) 2 Primary raw materials (Production) MICA ontology (DomainScheme) 2 CN codes MICA ontology (DomainScheme) 2 Available after registration (but without the need to pay a fee) Not confidential English geoscientificInformation economy Individual item (e.g. a one-off academic paper or single website) Data uncertainty Are any uncertainty measures provided (e.g. standard errors, confidence intervals, etc.)? true Quality assurance procedures Are quality assurance procedures described? true Information generation methods Are data or information generation methods formally described? true Record review Reviewed by: British Geological Survey Record validation false Commission Regulation (EU) No 1089/2010 of 23 November 2010 implementing Directive 2007/2/EC of the European Parliament and of the Council as regards interoperability of spatial data sets and services 2010-12-08 Organisation source implies that information should be of good quality Metadata is distributed with a CC BY-ND 4.0 (Attribution-NoDerivs 4.0 International) licence