Forecasting Economic Time Series

C. W. J. Granger, Paul Newbold, Karl Shell

• Publisher: Academic Press
• Year: 2014
• Print ISBN: 9780122951831
• eBook ISBN: 9781483273242
• Edition: 2
• Topic: Business
• Subtopic: Business General
• Index: Business

Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.

Table of contents

• Front Cover
• Forecasting Economic Time Series
• Copyright Page
• Table of Contents
• Dedication
• PREFACE TO THE SECOND EDITION
• PREFACE TO THE FIRST EDITION
• CHAPTER ONE. INTRODUCTION TO THE THEORY OF TIME SERIES
• CHAPTER TWO. SPECTRAL ANALYSIS
• CHAPTER THREE. BUILDING LINEAR TIME SERIES MODELS
• CHAFFER FOUR. THE THEORY OF FORECASTING
• CHAFER FIVE. PRACTICAL METHODS FOR UNIVARIATE TIME SERIES FORECASTING
• CHAPTER SIX. FORECASTING FROM REGRESSION MODELS
• CHAPTER SEVEN. MULTIPLE SERIES MODELING AND FORECASTING
• CHAPTER EIGHT. BUILDING MULTIPLE TIME SERIES FORECASTING MODELS
• CHAPTER NINE. THE COMBINATION AND EVALUATION OF FORECASTS
• CHAPTER TEN. FURTHER TOPICS
• REFERENCES
• AUTHOR INDEX
• SUBJECT INDEX