Time-Series Forecasting (Hardcover)

INTRODUCTIONTypes of Forecasting MethodsSome Preliminary QuestionsThe Dangers of ExtrapolationAre Forecasts Genuinely Out-of-Sample?Brief Overview of Relevant LiteratureBASICS OF TIME-SERIES ANALYSISDifferent Types of Time SeriesObjectives of Time-Series AnalysisSimple Descriptive TechniquesStationary Stochastic ProcessesSome Classes of Univariate Time-Series ModelsThe CorrelogramUNIVARIATE TIME-SEIES MODELLINGARIMA Models and Related TopicsState Space ModelsGrowth Curve ModelsNonlinear ModelsTime-Series Model BuildingUNIVARIATE FORECASTING METHODSThe Prediction ProblemModel-Based ForecastingAd Hoc Forecasting MethodsSome Interrelationships and CombinationsMULTIVARIATE FORECASTING METHODSIntroductionSingle-Equation ModelsVector AR and ARMA ModelsCointegrationEconometric modelsOther ApproachesSome Relationships Between ModelsA COMPARATIVE ASSESSMENT OF FORECASTING METHODSIntroductionCriteria for Choosing a Forecasting MethodMeasuring Forecast AccuracyForecasting Competitions and Case StudiesChoosing an Appropriate Forecasting MethodSummaryCALCULATING INTERVAL FORECASTSIntroductionNotationThe Need for Different ApproachesExpected Mean Square Prediction ErrorProcedures for Calculating P.I.sA Comparative AssessmentWhy are P.I.s too Narrow?An ExampleSummary and RecommendationsMODEL UNCERTAINTY AND FORECAST ACCURACYIntroduction to Model UncertaintyModel Building and Data DredgingExamplesInference after Model Selection: Some FindingsCoping with Model UncertaintySummary and DiscussionREFERENCES