Economic forecasting : an introduction

Başlık:

Yazar:

Holden, K.

ISBN:

9780521356121

9780521356923

Ek Yazar:

Holden, K.

Yayım Bilgisi:

Cambridge [England] ; New York : Cambridge University Press, 1994.

Fiziksel Tanım:

ix, 213 pages ; 24 cm

Contents:

Techniques -- Introduction to forecasting methods -- Why forecasts are needed -- Methods of forecasting -- A review of business forecasting techniques -- Econometric forecasting -- Evaluating forecasts -- Time-series methods -- Stochastic models of time series -- Box-Jenkins modelling -- A worked example -- Vector autoregression models -- Cointegration -- Deterministic and stochastic trends -- Non-linear time series -- Combining forecasts -- The variance-covariance method -- The regression method -- Serial correlation problems -- Other methods of combination -- Practical suggestions for combining forecasts -- The Makridakis forecasting competition -- Applications -- Microeconomic forecasting -- Demand forecasting -- Sales and market share forecasting for companies -- Anticipations data and leading indicators -- Scenario analysis -- Other techniques -- Forecasting with macroeconomic models -- Nature of macroeconomic models -- A simple macroeconomic model -- Preparing the forecast -- Judgmental adjustments and forecast errors -- Forecasting the 1980-1982 recession -- Decomposition of macroeconomic forecasts -- Accuracy of macroeconomic forecasts -- Forecasting asset market prices -- The efficient markets hypothesis -- Foreign exchange markets -- Stock market prices -- Commodity prices -- The choice between different techniques -- Current developments -- Economic forecasting and government policy.

Konu Terimleri:

Economic forecasting -- Mathematical models.

Ekonomik tahmin -- Matematiksel modeller.

Added Author:

Peel, D.

Thompson, John L.

Mevcut:*

Library	Materyal Türü	Barkod	Yer Numarası	Durum
Searching... Pamukkale Merkez Kütüphanesi	Kitap	0110677	HB3730 H645 1994	Searching... Unknown

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Özet

This book provides an introduction to the methods employed in forecasting the future state of the economy. It provides a comprehensive coverage of methods and applications in this fast-growing area and is intended for use in postgraduate and upper-level undergraduate courses. Part I outlines the available techniques, particularly those used in business forecasting and econometric forecasting. The state of the art in time series modelling is reviewed and includes a discussion of Box-Jenkins models, the vector autogressive approach and cointegration. Ways of combining forecasts are also examined in detail. Part II considers the most important applications of forecasting. Applications in microeconomics include demand and sales forecasting, the use of anticipations data, leading indicators and scenario analysis. In macroeconomics the emphasis is on why errors occur in forecasting asset market prices, including implications of the efficient markets hypothesis for foreign markets, stock market prices and commodity market prices. The book ends with a discussion of the appropriateness of various techniques, recent developments in forecasting, and the links between economic forecasting and government policy.

Author Notes

K. Holden is Senior Lecturer in the Department of Economics and Accounting at the University of Liverpool
D.A. Pecl is Professor of Economics at University College, Aberystwyth
J.L. Thompson is Senior Lecturer in the Business School, Liverpool Polytechnic

List of figures	p. vii
List of tables	p. vii
Preface	p. ix
Part 1 Techniques	p. 1
Chapter 1 Introduction to forecasting methods	p. 3
1.1 Why forecasts are needed	p. 3
1.2 Methods of forecasting	p. 6
1.3 A review of business forecasting techniques	p. 8
1.4 Econometric forecasting	p. 29
1.5 Evaluating forecasts	p. 33
1.6 Conclusions	p. 41
Chapter 2 Time-series methods	p. 43
2.1 Introduction	p. 43
2.2 Stochastic models of time series	p. 45
2.3 Box-Jenkins modelling	p. 50
2.4 A worked example	p. 64
2.5 Vector autoregression models	p. 69
2.6 Cointegration	p. 76
2.7 Deterministic and stochastic trends	p. 80
2.8 Non-linear time series	p. 82
Chapter 3 Combining forecasts	p. 85
3.1 Introduction	p. 85
3.2 The variance-covariance method	p. 85
3.3 The regression method	p. 88
3.4 Serial correlation problems	p. 91
3.5 Other methods of combination	p. 93
3.6 Practical suggestions for combining forecasts	p. 96
3.7 The Makridakis forecasting competition	p. 100
Part 2 Applications	p. 109
Chapter 4 Microeconomic forecasting	p. 111
4.1 Introduction	p. 111
4.2 Demand forecasting	p. 112
4.3 Sales and market share forecasting for companies	p. 123
4.4 Anticipations data and leading indicators	p. 127
4.5 Scenario analysis	p. 134
4.6 Other techniques	p. 136
Chapter 5 Forecasting with macroeconomic models	p. 140
5.1 Introduction	p. 140
5.2 Nature of macroeconomic models	p. 140
5.3 A simple macroeconomic model	p. 144
5.4 Preparing the forecast	p. 145
5.5 Judgmental adjustments and forecast errors	p. 150
5.6 Forecasting the 1980-1982 recession	p. 151
5.7 Decomposition of macroeconomic forecasts	p. 153
5.8 Accuracy of macroeconomic forecasts	p. 158
5.9 Conclusions	p. 162
Chapter 6 Forecasting asset market prices	p. 164
6.1 Introduction	p. 164
6.2 The efficient markets hypothesis	p. 164
6.3 Foreign exchange markets	p. 167
6.4 Stock market prices	p. 178
6.5 Commodity prices	p. 181
6.6 Conclusions	p. 182
Chapter 7 Conclusions	p. 183
7.1 The choice between different techniques	p. 183
7.2 Current developments	p. 187
7.3 Economic forecasting and government policy	p. 189
References	p. 191
Author index	p. 205
Subject index	p. 210

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