A working paper published by the Central Bank of Chile in August tests the forecasting accuracy of a family of new autoregressive models against "traditional" methods used in other literature, finding mixed results over different time frames.

The authors, Pablo Pincheira and Carlos Medel, use data from 12 countries over the period 1990–2011 to assess the accuracy of the new autoregressive integrated moving average models. The paper finds the models outperform traditional forecasts over a short