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Level shifts, temporary changes and forecasting

✍ Scribed by F. Javier Trívez

Publisher
John Wiley and Sons
Year
1995
Tongue
English
Weight
379 KB
Volume
14
Category
Article
ISSN
0277-6693

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✦ Synopsis

The purpose of this paper is to analyse the effect of not treating Level Shift and Temporary Change outliers on the point forecasts and prediction intervals from ARIMA models. One of the principal conclusions is that the outliers of the type discussed here considerably increase the inaccuracy of point forecasts, although the latter depends not only on the time of Occurrence of the outliers from the forecast origin but also on the type of ARIMA processes under consideration. However, regardless of the time of occurrence and of the type of ARIMA processes considered, Level Shifts and Temporary Changes significantly affect the width of the prediction intervals.

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