Forecasting accounting data: A multiple time-series analysis

This paper examines the relative forecasting performance of multivariate time‐series analysis. One hundred consecutive monthly observations for three accounting series were obtained from a manufacturing division of a large corporation. Regression, univariate time‐series, transfer‐function, and multiple time‐series models were identified, estimated, and used to forecast each accounting series. The multiple time‐series model yielded the smallest forecast variances.