The Box-Jenkins methodology for modeling and forecasting from univariate time series models has long been considered a standard to which other forecasting techniques have been compared. To a Bayesian ...
Journal of Applied Econometrics, Vol. 9, No. 1 (Jan. - Mar., 1994), pp. 31-45 (15 pages) The models in the literature on exchange-rate target zones imply a non-linear time series model for the ...