The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Arima Models

  • A. C. Harvey
Reference work entry


Autoregressive integrated moving-average (ARIMA) models are models which can be fitted to a single time series and used to make predictions of future observations. They owe their popularity primarily to the work of Box and Jenkins (1970), who defined the class of ARIMA and seasonal ARIMA models and provided a methodology for selecting a suitable model from that class.

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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • A. C. Harvey
    • 1
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