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The teachers/practitioners corner the effects of indexing ARMA series using the consumer price index

 

作者: Edward J. Lusk,   Oscar Lozano,   Haviland Wright,  

 

期刊: Journal of Forecasting  （WILEY Available online 1984）
卷期: Volume 3, issue 1  

页码: 85-89

 

ISSN:0277-6693

 

年代: 1984

 

DOI:10.1002/for.3980030110

 

出版商: John Wiley&Sons, Ltd.

 

关键词: Price deflatory indices;Time series

 

数据来源: WILEY

 

摘要:

AbstractThe authors demonstrate that indexing a time series with an ARMA representation using the Consumer Price Index does not materially alter the ARMA form of the model. They further demonstrate that the forecasting error of the indexed series and of the product of the forecasts of the index and the time series are, for practical purpose, the same. Simulation results are reported for five model classes.

 

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