Box-Jenkins Analysis: A Revolution in Time Series Forecasting

This did not change until GEORGE E.P. BOX and GWILYM M. JENKINS (1970) published a textbook on time series analysis that received considerable attention. First of all, they introduced univariate models for time series which simply made systematic use of the information included in the observed values of time series. This offered an easy way to predict the future development of this variable. Today, the procedure is known as Box-Jenkins Analysis and is widely applied. It became even more popular when CLIVE W.J. GRANGER and PAUL NEWBOLD (1975) showed that simple forecasts which only considered information given by one single time series often outperformed the forecasts based on large econometric models consisting sometimes of many hundreds of equations.