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