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

Robert Alan Yaffee (Author), Monnie McGee (Author)

9780127678702

Hardback, published 12 May 2000

560 pages
22.9 x 15.2 x 3.2 cm, 0.89 kg

"Robert Yaffee has performed an invaluable service to students of time series analysis by preparing an introduction to methods for analyzing time series data that includes examples drawn from the social sciences, and demonstrates how to program the procedures in SPSS and SAS. Introduction to Time Series Analysis and Forecasting will be a standard reference for years to come." --DAVID F. GREENBERG, New York University, New York

Providing a clear explanation of the fundamental theory of time series analysis and forecasting, this book couples theory with applications of two popular statistical packages--SAS and SPSS. The text examines moving average, exponential smoothing, Census X-11 deseasonalization, ARIMA, intervention, transfer function, and autoregressive error models and has brief discussions of ARCH and GARCH models. The book features treatments of forecast improvement with regression and autoregression combination models and model and forecast evaluation, along with a sample size analysis for common time series models to attain adequate statistical power. The careful linkage of the theoretical constructs with the practical considerations involved in utilizing the statistical packages makes it easy for the user to properly apply these techniques.

Preface.
Introduction and Overview.
Extrapolative Models and Decomposition Models.
Introduction to Box-Jenkins Time Series Analysis.
The Basic ARIMA Model.
Seasonal ARIMA Models.
Estimation and Diagnosis.
Metadiagnosis and Forecasting. Intervention Analysis.
Transfer Function Models.
Autoregressive Error Models.
A Review of Model and Forecast Evaluation.
M. McGee, Power Analysis and Sample Size Determination for Well-Known Time Series Models.
Appendix A.
Glossary.
Index.

Subject Areas: Probability & statistics [PBT], Mathematics [PB], Psychological methodology [JMB], Social research & statistics [JHBC], Sociology & anthropology [JH]