On the Predictive Performance of the BEA Quarterly Econometric Model and a Box-Jenkins Type Arima Model

This paper compares the predictive performance of the BEA quarterly econometric model with that of a parsimonious Box-Jenkins type autogressive integrated moving average model for univariate time series analysis. For this purpose, GNP is the variable of interest. This paper complements that by C.R. Nelson (1972) on the predictive performance of the FRB-MIT-PENN model versus Box-Jenkins type models, and that by T.H. Naylor, et al. (1972) on the Wharton model versus Box-Jenkins type models.