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.
Reference
[S2] Reference
Akaike (1974) -- A new look at the statistical model identification (IEEE Transactions on Automatic Control). Introduced AIC for automated order selection.
Reference
[S3] Reference
Schwarz (1978) -- Estimating the dimension of a model (Annals of Statistics). Introduced BIC, which penalizes complexity more heavily than AIC.
Reference
[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.
Reference
[S5] Reference
Hamilton (1994) -- Time Series Analysis, Chapter 5. The standard graduate textbook treatment of ARIMA estimation and asymptotics.
Reference

Open the concept, data series, policy setting, or neighboring model that anchors this page.

Data-Driven Models

References

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.
Reference
[S2] Reference
Akaike (1974) -- A new look at the statistical model identification (IEEE Transactions on Automatic Control). Introduced AIC for automated order selection.
Reference
[S3] Reference
Schwarz (1978) -- Estimating the dimension of a model (Annals of Statistics). Introduced BIC, which penalizes complexity more heavily than AIC.
Reference
[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.
Reference
[S5] Reference
Hamilton (1994) -- Time Series Analysis, Chapter 5. The standard graduate textbook treatment of ARIMA estimation and asymptotics.
Reference