An Introduction to Time Series Analysis and Forecasting

With Applications of SAS® and SPSS®

Robert Alan Yaffee, Monnie McGee

• Publisher: Academic Press
• Year: 2000
• Print ISBN: 9780127678702
• eBook ISBN: 9780080478708
• Topic: Mathematics
• Subtopic: Mathematics General
• Index: Mathematics

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.- Describes principal approaches to time series analysis and forecasting- Presents examples from public opinion research, policy analysis, political science, economics, and sociology- Math level pitched to general social science usage- Glossary makes the material accessible for readers at all levels

Table of contents

• Cover
• Copyright Page
• Contents
• Preface
• Chapter 1. Introduction and Overview
• Chapter 2. Extrapolative and Decomposition Models
• Chapter 3. Introduction to Box–Jenkins Time Series Analysis
• Chapter 4. The Basic ARIMA Model
• Chapter 5. Seasonal ARIMA Models
• Chapter 6. Estimation and Diagnosis
• Chapter 7. Metadiagnosis and Forecasting
• Chapter 8. Intervention Analysis
• Chapter 9. Transfer Function Models
• Chapter 10. Autoregressive Error Models
• Chapter 11. A Review of Model and Forecast Evaluation
• Chapter 12. Power Analysis and Sample Size Determination for Well-Known Time Series Models
• Appendix A
• Glossary
• Index