On the Efficiency Between Forecasting Models—A Study in the Indian Context

In this paper, we have investigated the relative performances of two types of forecasting models, namely univariate autoregressive integrated moving average (ARIMA) model and transfer function model, with the help of two Indian economic time series viz. (i) Money Supply (M₃ ) and (ii) Consumer Price Index Numbers for Industrial Workers. Our emperical results show that the efficiency of transfer function model is substantially superior to that of the univariate model.