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Elements of Forecasting

by: Diebold, Francis X.

Elements of Forecasting

by: Diebold, Francis X.

ISBN 13:
9780324023930
ISBN 10:
0324023936
Edition: 2nd
Format: Hardcover
Copyright: 08/10/2000
Publisher: Cengage Learning

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Summary

ELEMENTARY FORECASTING focuses on the core techniques of widest applicability. The author illustrates all methods with detailed real-world applications, many of them international in flavor, designed to mimic typical forecasting situations.

Introduction to Forecasting: Applications, Methods, Books, Journals, and Software

(31)

Forecasting in Action

(3)

Forecasting Methods: An Overview of the Book

(2)

Useful Books, Journals, Software, and Online Information

(3)

Looking Ahead

(22)

Problems and Complements

(3)

Concepts for Review

(1)

References and Additional Readings

(1)

Appendix: The Linear Regression Model

(14)

Additional Problems and Complements

(2)

Additional Bibliographical and Computational Notes

(1)

Additional Concepts for Review

(1)

Six Considerations Basic to Successful Forecasting

(18)

The Decision Environment and Loss Function

(5)

The Forecast Object

(1)

The Forecast Statement

(4)

The Forecast Horizon

(2)

The Information Set

(1)

Methods and Complexity, the Parsimony Principle, and the Shrinkage Principle

(1)

Concluding Remarks

(4)

Problems and Complements

(1)

Bibliographical and Computational Notes

(1)

Concepts for Review

(1)

References and Additional Readings

(1)

Statistical Graphics for Forecasting

(23)

Why Graphical Analysis Is Important

(4)

Simple Graphical Techniques

(5)

Elements of Graphical Style

(4)

Application: Graphing Four Components of Real GDP

(3)

Concluding Remarks

(7)

Problems and Complements

(4)

Bibliographical and Computational Notes

(1)

Concepts for Review

(1)

References and Additional Readings

(2)

Modeling and Forecasting Trend

(31)

Modeling Trend

(9)

Estimating Trend Models

(1)

Forecasting Trend

(1)

Selecting Forecasting Models Using the Akaike and Schwarz Criteria

(6)

Application: Forecasting Retail Sales

(14)

Problems and Complements

(3)

Bibliographical and Computational Notes

101

(1)

Concept for Review

101

(1)

References and Additional Readings

101

(2)

Modeling and Forecasting Seasonality

103

(13)

The Nature and Sources of Seasonality

103

(3)

Modeling Seasonality

106

(2)

Forecasting Seasonal Series

108

(1)

Application: Forecasting Housing Starts

109

(7)

Problems and Complements

113

(2)

Bibliographical and Computational Notes

115

(1)

Concepts for Review

115

(1)

References and Additional Readings

115

(1)

Characterizing Cycles

116

(27)

Covariance Stationary Time Series

117

(6)

White Noise

123

(5)

The Lag Operator

128

(2)

Wold's Theorem, the General Linear process, and Rational Distributed Lags

130

(3)

Estimation and Inference for the Mean, Autocorrelation, and Partial Autocorrelation functions

133

(4)

Application: Characterizing Canadian Employment Dynamics

137

(6)

Problems and Complements

140

(1)

Bibliographical and Computational Notes

141

(1)

Concepts for Review

142

(1)

References and Additional Readings

142

(1)

Modeling Cycles: MA, AR, and ARMA Models

143

(40)

Moving-Average (MA) Models

144

(8)

Autoregresive (AR) Models

152

(9)

Autoregressive Moving-Average (ARMA) Models

161

(1)

Application: Specifying and Estimating Models for Employment forecasting

162

(21)

Problems and Complements

173

(5)

Bibliographical and Computational Notes

178

(2)

Concepts for Review

180

(1)

References and Additional Readings

181

(2)

Forecasting Cycles

183

(24)

Optimal Forecasts

183

(1)

Forecasting Moving-Average Processes

184

(5)

Making the Forecasts Operational

189

(1)

The Chain Rule of Forecasting

190

(4)

Application: Forecasting Employment

194

(13)

Problems and Complements

198

(6)

Bibliographical and Computational Notes

204

(1)

Concepts for Review

205

(1)

References and Additional Readings

205

(2)

Putting It All Together: A Forecasting Model with Trend, Seasonal, and Cyclical Components

207

(34)

Assembling What We Have learned

207

(3)

Application: Forecasting Liquor Sales

210

(16)

Recursive Estimation Procedures for Diagnosing and Selecting Forecasting Models

226

(7)

Liquor Sales, Continued

233

(8)

Problems and Complements

235

(4)

Bibliographical and Computational Notes

239

(1)

Concepts for Review

240

(1)

References and Additional Readings

240

(1)

Forecasting with Regression Models

241

(46)

Conditional Forecasting Models and Scenario Analysis

242

(1)

Accounting for Parameter Uncertainty in Confidence Intervals for Conditional Forecasts

242

(3)

Unconditional Forecasting Models

245

(1)

Distributed Lags, Polynomial Distrusted Lags, and Rational Distributed Lags

246

(2)

Regressions with Lagged Dependent Variables, Regressions with ARMA Disturbances, and Transfer Function Models

248

(4)

Vector Autoregressions

252

(1)

Predictive Causality

253

(2)

Impulse-Response Functions and Variance Decompositions

255

(4)

Application: Housing Stars and Completions

259

(28)

Problems and Complements

276

(6)

Bibliographical and Computational Notes

282

(1)

Concepts for Review

283

(1)

References and Additional Readings

284

(3)

Evaluating and Combining Forecasts

287

(36)

Evaluating a Single Forecast

287

(4)

Evaluating Two or More Forecasts: Comparing Forecast Accuracy

291

(3)

Forecast Encompassing and Forecast Combination

294

(5)

Application: Overseas Shipping Volume on the Atlantic East Trade Lane

299

(24)

Problems and Complements

314

(6)

Bibliographical and Computational Notes

320

(1)

Concepts for Review

320

(1)

References and Additional Readings

320

(3)

Unit Roots, Stochastic Trends, ARIMA Forecasting Models, and Smoothing

323

(50)

Stochastic Trends and Forecasting

323

(8)

Unit Roots: Estimation and Testing

331

(9)

Application: Modeling and Forecasting the Yen/Dollar Exchange Rate

340

(12)

Smoothing

352

(6)

Exchange Rates, Continued

358

(15)

Problems and Complements

361

(6)

Bibliographical and Computational Notes

367

(2)

Concepts for Review

369

(1)

References and Additional Readings

370

(3)

Bibliography

373

(10)

Name Index

383

(3)

Subject Index

386

Amazon no longer offers textbook rentals. We do!

Elements of Forecasting

Elements of Forecasting

9780324023930

0324023936

Summary

Author Biography

Table of Contents

Supplemental Materials

Write a Review

Amazon no longer offers textbook rentals. We do!

Elements of Forecasting

Elements of Forecasting

9780324023930

0324023936

Summary

Author Biography

Table of Contents

Supplemental Materials

Write a Review

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