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Title:The transfer function relationship between earnings and market-industry indices : an empirical study / BEBR No. 496
Author(s):Hopwood, William S.
Contributor(s):University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Subject(s):Business forecasting -- Mathematical models.
Issue Date:July 12 19
Publisher:[Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign,
Series/Report:Faculty working papers ; no. 496
Description:Includes bibliographical references (leaf [12]).
"The study investigated the hypothesis that univariate ARIMA forecasts can be improved upon by using a more general transfer function model which consists of an ARIMA model with a market or industry index added. Statistical analysis of the data indicated that firms' forecasts have a tendency to perform either very well or very poorly under the transfer function model as compared to the ARIMA model (using an absolute value error metric)."
"It was demonstrated that it is possible to develop an a priori rule for the determination of when the transfer function will outperform the univariate model. In particular it was found that if a transfer function outperforms an ARIMA model for the majority of the first three periods in the forecast horizon, then there is a significant probability that it will do the same for periods four through ten."
Rights Information:Copyright July 12 1978 Board of Trustees University of Illinois.
Date Available in IDEALS:2011-09-15
Has Version(s):
Identifier in Online Catalog:321418
OCLC Identifier:(OCoLC)ocm05108567

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