Forecasting Examples for Business and Economics Using the SAS System

Front Cover
SAS Institute, Apr 1, 1994 - Computers - 424 pages
1 Review
Numerous step-by-step examples show you--the economist, business forecaster, student, or researcher--how to use SAS to generate forecasts for a variety of business and economic data. Examples are based on both time series models and econometric models. You'll learn how to use SAS to forecast time series data using Box-Jenkins ARIMA methodology; develop and forecast transfer functions and intervention models; fit and forecast regression models with autocorrelated, heteroskedastic, and ARCH-GARCH error terms; estimate nonlinear regression models; create forecast confidence limits using Monte Carlo simulation; and more! The main focus of the book is on the code-based procedures in SAS/ETS software, but this book also provides an introduction to the interactive Time Series Forecasting System, and it shows how to plot data and forecasts with SAS/GRAPH software.
 

What people are saying - Write a review

User Review - Flag as inappropriate

Good Book in future for econimis

Selected pages

Contents

The Almon Data Set
2
The Construction Data Set
3
The Consumption Data Set
7
The Dow Jones Industrials Index Data Set
9
The Driver Casualties Data Set
11
The Electricity Production Data Set
12
The Exchange Rate Data Set
14
The Finance Data Set
17
Fitting and Forecasting Linear Models with Linear Restrictions
167
Fitting and Forecasting a Linear Model with an AR Error Correction
173
Fitting Linear Models with Heteroscedastic Error Terms
183
Fitting Linear Models with ARCHGARCH Error Terms
195
Assessing Forecast Accuracy
205
Forecasting Using a Lagged Dependent Variable Model
213
Static and Dynamic Forecasting Using a Lagged Dependent Variable Model
225
Fitting and Forecasting Polynomial Distributed Lag Models
235

The Lead Production Data Set
20
The Returns Data Set
21
The Steel Shipments Data Set
24
References
25
Forecasting an Autoregressive Process
27
Forecasting a Moving Average Process
41
Forecasting a Seasonal Process
53
Seasonal Adjustment and Forecasting
67
Forecasting with Transfer Function Models
83
Forecasting with Intervention Models
101
Forecasting Multivariate Time Series
111
Preparing Time Series Data for Forecasting
125
Using Macros for Forecasting Tasks
137
Fitting and Forecasting a Linear Model by OLS
149
Testing Forecasting Models for Break Points with Chow Tests
161
Fitting and Forecasting Restricted Polynomial Distributed Lag Models
253
Fitting and Forecasting a Linear System by SUR and ITSUR
265
Testing and Restricting Parameter Estimates in a Linear System Forecasting Model
277
Producing GoodnessofFit Statistics for Forecasts of a Linear System of Equations
287
Fitting a Linear System by Instrumental Methods
293
Linear System Diagnostics and Autoregressive Error Correction
311
Creating Forecast Confidence Limits with Monte Carlo Simulation
329
Fitting and Forecasting a Nonlinear Model
337
Restricting and Testing Parameters of a Nonlinear Forecasting Model
349
Producing Forecasts Automatically Using the Time Series Forecasting System
359
Developing Forecasting Models Using the Time Series Forecasting System
371
Index
383
Your Turn
385
Copyright

Common terms and phrases

Bibliographic information