7.3 Advantages and disadvantages for ARIMA models

Advantages:

• Box-Jenkins is a stable tool to get a model for short term accurate forecasts
• The model is flexible, but dont be fooled by complexity
• Formal testing procedures are available, such as AIC, BIC etc.

Disadvantages:

• Large amount of data is needed
• Each time new data arrives, the model must be estimated again. That is because the parameters follow the most recent information.
• Construction is based on trial and error