Elements of Forecasting

by Diebold, Francis X.

• ISBN13: 9780324023930
• ISBN10: 0324023936
• Additional ISBN(s): 9780324042856
• Edition: 2nd
• Format: Hardcover
• Copyright: 2000-08-10
• Publisher: Cengage Learning
• More Book Details

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.

Author Biography

Francis X. Diebold is Lawrence R. Klein Professor of Economics and Statistics and Director of the Institute for Economic Research at the University of Pennsylvania, and a Research Associate at the National Bureau of Economic Research in Cambridge, Massachusetts.

Table of Contents

Introduction to Forecasting: Applications, Methods, Books, Journals, and Software	1	(31)
Forecasting in Action	1	(3)
Forecasting Methods: An Overview of the Book	4	(2)
Useful Books, Journals, Software, and Online Information	6	(3)
Looking Ahead	9	(22)
Problems and Complements	9	(3)
Concepts for Review	12	(1)
References and Additional Readings	12	(1)
Appendix: The Linear Regression Model	13	(14)
Additional Problems and Complements	27	(2)
Additional Bibliographical and Computational Notes	29	(1)
Additional Concepts for Review	30	(1)
Six Considerations Basic to Successful Forecasting	31	(18)
The Decision Environment and Loss Function	32	(5)
The Forecast Object	37	(1)
The Forecast Statement	38	(4)
The Forecast Horizon	42	(2)
The Information Set	44	(1)
Methods and Complexity, the Parsimony Principle, and the Shrinkage Principle	44	(1)
Concluding Remarks	45	(4)
Problems and Complements	46	(1)
Bibliographical and Computational Notes	47	(1)
Concepts for Review	47	(1)
References and Additional Readings	48	(1)
Statistical Graphics for Forecasting	49	(23)
Why Graphical Analysis Is Important	49	(4)
Simple Graphical Techniques	53	(5)
Elements of Graphical Style	58	(4)
Application: Graphing Four Components of Real GDP	62	(3)
Concluding Remarks	65	(7)
Problems and Complements	66	(4)
Bibliographical and Computational Notes	70	(1)
Concepts for Review	70	(1)
References and Additional Readings	70	(2)
Modeling and Forecasting Trend	72	(31)
Modeling Trend	72	(9)
Estimating Trend Models	81	(1)
Forecasting Trend	82	(1)
Selecting Forecasting Models Using the Akaike and Schwarz Criteria	83	(6)
Application: Forecasting Retail Sales	89	(14)
Problems and Complements	98	(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