Time Series Models for Business and Economic Forecasting

Taking a practical approach, this updated and classroom-tested textbook prepares students to create effective forecasting models for business and economics.

Philip Hans Franses (Author), Dick van Dijk (Author), Anne Opschoor (Author)

9780521817707, Cambridge University Press

Hardback, published 24 April 2014

314 pages, 81 b/w illus. 17 tables 65 exercises
25.4 x 19.4 x 1.8 cm, 0.82 kg

'This book is well written; it takes the reader through a carefully selected part of the recent and important research on time series models to be used for out-of-sample forecasting. In short, the book is a must for students of this area.' Svend Hylleberg, Dean of the School of Business and Social Sciences, Aarhus University

With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.

Preface
1. Introduction and overview
2. Key features of economic time series
3. Useful concepts in univariate time series analysis
4. Trends
5. Seasonality
6. Aberrant observations
7. Conditional heteroskedasticity
8. Non-linearity
9. Multivariate time series
Index.

Subject Areas: Economic forecasting [KCJ], Economic statistics [KCHS], Econometrics [KCH]