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Table Of Contents

2.2. GOODNESS-OF-FIT INDICATORS
2.4.1. SIMPLE EXPONENTIAL SMOOTHING
2.4.2. HOLT’S LINEAR EXPONENTIAL SMOOTHING
AND SEASONALITY: WINTER’S METHODS
2.4.5. BASIC EVALUATION OF EXPONENTIAL SMOOTHING
2.5. DECOMPOSITION METHODS
2.5.1. COMPONENTS OF A SERIES
2.5.2. TRENDS
2.5.3. SEASONALITY
2.5.4. CYCLES
2.5.5. BACKGROUND
2.5.6. OVERVIEW OF X-11
2.6. NEW FEATURES OF CENSUS X-12
REFERENCES
3.1. INTRODUCTION
3.2. THE IMPORTANCE OF TIME SERIES ANALYSIS MODELING
3.3. LIMITATIONS
3.4. ASSUMPTIONS
3.5. TIME SERIES
3.5.1. MOVING AVERAGE PROCESSES
3.5.2. AUTOREGRESSIVE PROCESSES
3.5.3. ARMA PROCESSES
TO STATIONARITY
3.6. TESTS FOR NONSTATIONARITY
3.6.1. THE DICKEY–FULLER TEST
3.6.2. AUGMENTED DICKEY–FULLER TEST
3.6.4. PROGRAMMING THE DICKEY–FULLER TEST
3.7. STABILIZING THE VARIANCE
3.8. STRUCTURAL OR REGIME STABILITY
3.9. STRICT STATIONARITY
3.10. IMPLICATIONS OF STATIONARITY
3.10.1. FOR AUTOREGRESSION
4.1. INTRODUCTION TO ARIMA
4.2. GRAPHICAL ANALYSIS OF TIME SERIES DATA
4.2.1. TIME SEQUENCE GRAPHS
4.2.2. CORRELOGRAMS AND STATIONARITY
4.4. THE SAMPLE AUTOCORRELATION FUNCTION
4.5. THE STANDARD ERROR OF THE ACF
4.6. The Bounds of Stationarity and Invertibility 119
4.6. THE BOUNDS OF STATIONARITY AND INVERTIBILITY
4.7. THE SAMPLE PARTIAL AUTOCORRELATION FUNCTION
4.8. Bounds of Stationarity and Invertibility Reviewed 125
4.7.1. STANDARD ERROR OF THE PACF
4.8. BOUNDS OF STATIONARITY AND INVERTIBILITY REVIEWED
4.9. OTHER SAMPLE AUTOCORRELATION FUNCTIONS
4.10.2. STATIONARITY ASSESSMENT
4.10.3. IDENTIFYING AUTOREGRESSIVE MODELS
4.10.4. IDENTIFYING MOVING AVERAGE MODELS
5.1. CYCLICITY
5.2. SEASONAL NONSTATIONARITY
5.3. SEASONAL DIFFERENCING
5.4. MULTIPLICATIVE SEASONAL MODELS
5.4.1. SEASONAL AUTOREGRESSIVE MODELS
5.4.2. SEASONAL MOVING AVERAGE MODELS
5.7.1. IDENTIFICATION OF SEASONAL NONSTATIONARITY
5.7.2. PURELY SEASONAL MODELS
5.8.1. SAS PROGRAMMING SYNTAX
5.8.2. SPSS PROGRAMMING SYNTAX
5.9. ALTERNATIVE METHODS OF MODELING SEASONALITY
6.1. INTRODUCTION
6.2. ESTIMATION
6.2.1. CONDITIONAL LEAST SQUARES
6.2.2. UNCONDITIONAL LEAST SQUARES
6.2.3. MAXIMUM LIKELIHOOD ESTIMATION
6.2.4. COMPUTER APPLICATIONS
6.3. DIAGNOSIS OF THE MODEL
7.1. INTRODUCTION
7.2. METADIAGNOSIS
OF METADIAGNOSTIC CRITERIA
7.3. FORECASTING WITH BOX–JENKINS MODELS
7.3.1. FORECASTING OBJECTIVES
7.3.2. BASIC METHODOLOGY OF FORECASTING
7.3.3. THE FORECAST FUNCTION
7.3.4. THE FORECAST ERROR
7.3.5. FORECAST ERROR VARIANCE
7.3.6. FORECAST CONFIDENCE INTERVALS
7.3.7. FORECAST PROFILES FOR BASIC PROCESSES
7.4. CHARACTERISTICS OF THE OPTIMAL FORECAST
7.5. BASIC COMBINATION OF FORECASTS
7.6. FORECAST EVALUATION
7.7. STATISTICAL PACKAGE FORECAST SYNTAX
7.7.1. INTRODUCTION
7.7.2. SAS SYNTAX
7.7.3. SPSS SYNTAX
7.8. REGRESSION COMBINATION OF FORECASTS
8.3. IMPACT ANALYSIS THEORY
8.3.1. INTERVENTION INDICATORS
8.3.2. THE INTERVENTION (IMPULSE RESPONSE) FUNCTION
8.3.5. ABRUPT ONSET, TEMPORARY DURATION
8.3.6. ABRUPT ONSET AND OSCILLATORY DECAY
8.3.7. GRADUATED ONSET AND GRADUAL DECAY
8.4. SIGNIFICANCE TESTS FOR IMPULSE RESPONSE FUNCTIONS
8.5. MODELING STRATEGIES FOR IMPACT ANALYSIS
8.5.1. THE BOX–JENKINS–TIAO STRATEGY
8.5.2. FULL SERIES MODELING STRATEGY
8.6. PROGRAMMING IMPACT ANALYSIS
8.6.1. A EXAMPLE OF SPSS IMPACT ANALYSIS SYNTAX
8.6.2. AN EXAMPLE OF SAS IMPACT ANALYSIS SYNTAX
8.7. APPLICATIONS OF IMPACT ANALYSIS
8.8. ADVANTAGES OF INTERVENTION ANALYSIS
8.9. LIMITATIONS OF INTERVENTION ANALYSIS
9.1. DEFINITION OF A TRANSFER FUNCTION
9.2. IMPORTANCE
9.3. THEORY OF THE TRANSFER FUNCTION MODEL
9.3.1. THE ASSUMPTIONS OF THE SINGLE-INPUT CASE
9.4.2. The Linear Transfer Function Modeling Strategy
9.5. COINTEGRATION
9.7. BASIC CHARACTERISTICS OF A GOOD TIME SERIES MODEL
10.1. THE NATURE OF SERIAL CORRELATION OF ERROR
OF AUTOCORRELATED ERROR
10.2. Sources of Autoregressive Error 435
10.2. SOURCES OF AUTOREGRESSIVE ERROR
10.4. Tests for Serial Correlation of Error 437
10.4. TESTS FOR SERIAL CORRELATION OF ERROR
10.6. Forecasting with Autocorrelated Error Models 441
10.6. FORECASTING WITH AUTOCORRELATED ERROR MODELS
10.7.1. SAS PROC AUTOREG
10.8. AUTOREGRESSION IN COMBINING FORECASTS
10.9. MODELS WITH STOCHASTIC VARIANCE
10.9.1. ARCH AND GARCH MODELS
10.9.2. ARCH MODELS FOR COMBINING FORECASTS
11.1. MODEL AND FORECAST EVALUATION
11.2. MODEL EVALUATION
11.3. Comparative Forecast Evaluation 469
11.3. COMPARATIVE FORECAST EVALUATION
11.3.1. CAPABILITIES OF FORECAST METHODS
11.4. COMPARISON OF INDIVIDUAL FORECAST METHODS
11.5. Comparison of Combined Forecast Models 477
11.5. COMPARISON OF COMBINED FORECAST MODELS
12.1. CENSUS X-11
12.2. Box–Jenkins Models 483
12.2. BOX–JENKINS MODELS
12.3. TESTS FOR NONSTATIONARITY
12.4. Intervention Analysis and Transfer Functions 487
12.4. INTERVENTION ANALYSIS AND TRANSFER FUNCTIONS
12.5. REGRESSION WITH AUTOREGRESSIVE ERRORS
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An Introduction to Time Series Analysis and Forecasting With Applications of SAS and SPSS

An Introduction to Time Series Analysis and Forecasting With Applications of SAS and SPSS

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Published by: bladeap on Jan 06, 2012
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