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Time‐series forecasting of the German unemployment rate
Author(s) -
Funke Michael
Publication year - 1992
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.3980110203
Subject(s) - univariate , autoregressive integrated moving average , econometrics , multivariate statistics , series (stratigraphy) , german , unemployment rate , unemployment , computer science , time series , statistics , economics , mathematics , macroeconomics , history , paleontology , archaeology , biology
The purpose of the paper is to investigate the accuracy of forecasts derived from univariate and multivariate time‐series models. An iterative method to adjust for impact assessment in univariate ARIMA models is discussed and illustrated for the German unemployment rate. Finally, we also examine the pros and cons of the impact assessment model in comparison with VAR models.