Macroeconomic model reference

ARIMA Model

Autoregressive integrated moving average -- the workhorse univariate forecaster for stationary or differenced macro series.

Empirical forecasting models · Sources

ARIMA sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the ARIMA page.

Reference material used for orientation; read primary and academic sources first when claims conflict.

[S1] Reference
Box and Jenkins (1970) -- Time Series Analysis: Forecasting and Control. The foundational monograph that codified the identification-estimation-diagnostic cycle.
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[S2] Reference
Akaike (1974) -- A new look at the statistical model identification (IEEE Transactions on Automatic Control). Introduced AIC for automated order selection.
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[S3] Reference
Schwarz (1978) -- Estimating the dimension of a model (Annals of Statistics). Introduced BIC, which penalizes complexity more heavily than AIC.
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[S4] Reference
Hyndman and Khandakar (2008) -- Automatic time series forecasting: the forecast package for R (Journal of Statistical Software). Operationalized auto.arima with stepwise AICc selection.
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[S5] Reference
Hamilton (1994) -- Time Series Analysis, Chapter 5. The standard graduate textbook treatment of ARIMA estimation and asymptotics.
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