A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series
宏观时间序列单变量自回归预测程序的比较
The actual performance of several automated univariate autoregressive forecasting procedures, applied to 150 macroeconomic time series, are compared. The procedures are the random walk model as a basis for comparison; long autoregressions, with three alternative rules for lag length selection; and a long autoregression estimated by minimizing the sum of absolute deviations. The sensitivity of each procedure to preliminary transformations, data, periodicity, forecast horizon,…