Forecasting Examples for Business and Economics Using the SAS System
Forecasting Examples for Business & Economics
Contents
Credits vii
Acknowledgements ix
Introduction: The Example Data Sets
The Almon Data Set
The CES Production Function Data Set
The Construction Data Set
The Consumption Data Set
The Dow Jones Industrials Index Data Set
The Driver Casualties Data Set
The Electricity Production Data Set
The Exchange Rate Data Set
The Finance Data Set
The Lead Production Data Set
The Returns Data Set
The Steel Shipments Data Set
References
EXAMPLE 1 - Forecasting an Autoregressive Progress
EXAMPLE 2 - Forecasting a Moving Average Process
EXAMPLE 3 - Forecasting a Seasonal Process
EXAMPLE 4 - Seasonal Adjustment and Forecasting
EXAMPLE 5 - Forecasting with Transfer Function Models
EXAMPLE 6 - Forecasting with Intervention Models
EXAMPLE 7 - Forecasting Multivariate Time Series
EXAMPLE 8 - Preparing Time Series Data for Forecasting
EXAMPLE 9 - Using Macros for Forecasting Tasks
EXAMPLE 10 - Fitting and Forecasting a Linear Model by
OLS
EXAMPLE 11 - Testing Forecasting Models for Break Points with
Chow Tests
EXAMPLE 12 - Fitting and Forecasting Linear Models with Linear
Restrictions
EXAMPLE 13 - Fitting and Forecasting a Linear Model with an AR
Error Correction
EXAMPLE 14 - Fitting Linear Models with Heteroscedastic Error
Terms
EXAMPLE 15 - Fitting Linear Models with ARCH-GARCH Error
Terms
EXAMPLE 16 - Assessing Forecast Accuracy
EXAMPLE 17 - Forecasting Using a Lagged Dependent Variable
Model
EXAMPLE 18 - Static and Dynamic Forecasting Using a Lagged
Dependent Variable Model
EXAMPLE 19 - Fitting and Forecasting Polynomial Distributed Lag
Models
EXAMPLE 20 - Fitting and Forecasting Restricted Polynomial
Distributed Lag Models
EXAMPLE 21 - Fitting and Forecasting a Linear System by SUR
and ITSUR
EXAMPLE 22 - Testing and Restricting Parameter Estimates in a
Linear System Forecasting Model
EXAMPLE 23 - Producing Goodness-of-Fit Statistics for Forecasts
of a Linear System of Equations
EXAMPLE 24 - Fitting a Linear System by Instrumental
Methods
EXAMPLE 25 - Linear System Diagnostics and Autoregressive
Error Correction
EXAMPLE 26 - Creating Forecast confidence Limits with Monte
Carlo Simulation
EXAMPLE 27 - Fitting and Forecasting a Nonlinear Model
EXAMPLE 28 - Restricting and Testing Parameters of a Nonlinear
Forecasting Model
EXAMPLE 29 - Producing Forecasts Automatically Using the Time
Series Forecasting System
EXAMPLE 30 - Developing Forecasting Models Using the Time
Series Forecasting System
Index