Premium
Forecasting accounting data: A multiple time‐series analysis
Author(s) -
Hillmer S. C.,
Larcker D. F.,
Schroeder D. A.
Publication year - 1983
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980020408
Subject(s) - univariate , series (stratigraphy) , multivariate statistics , time series , econometrics , statistics , computer science , accounting , mathematics , economics , paleontology , biology
This paper examines the relative forecasting performance of multivariate time‐series analysis. One hundred consecutive monthly observations for three accounting series were obtained from a manufacturing division of a large corporation. Regression, univariate time‐series, transfer‐function, and multiple time‐series models were identified, estimated, and used to forecast each accounting series. The multiple time‐series model yielded the smallest forecast variances.