Box-Jenkins Model

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Box-Jenkins Model

A methodology that makes forecasts of future economic behavior by applying a best fit model to past behavior. In using the model, one applies an autoregressive moving average to past data. In order to do this accurately, one must identify the data being measured and ensure it is independent of other variables, define the parameters of investigation, and check the model. The model is used in econometrics.
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References in periodicals archive ?
Pankratz, Forecasting with Univariate Box Jenkins Models, New York: John Wiley and Sons, 1983.