Experience with using the Box-Cox transformation when forecasting economic time series

DOI10.1016/0304-4076(79)90064-2zbMath0399.62116OpenAlexW1976728325MaRDI QIDQ1254821

Harold L. Nelson, Clive W. J. Granger

Publication date: 1979

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(79)90064-2

zbMATH Keywords

Box-Cox TransformationForecasting Economic Time SeriesLinear Arima ModelMaximum Likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (7)

Unnamed Item ⋮ ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS ⋮ A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series ⋮ Special issue on Nonlinear time series models. Part 2. 16th Rencontres Franco-Belges de Statisticiens, Bruxelles, Belgium, November 23--24, 1995 ⋮ Arch model with Box-Cox transformed dependent variable ⋮ Identification of structural VAR models via independent component analysis: a performance evaluation study ⋮ Identification of arma models with non-gaussian innovations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Experience with using the Box-Cox transformation when forecasting economic time series