An Introduction to Time Series Analysis and Forecasting: by Robert A. Yaffee

By Robert A. Yaffee

Supplying a transparent rationalization of the elemental concept of time sequence research and forecasting, this ebook idea with functions of 2 well known statistical packages--SAS and SPSS. The textual content examines relocating usual, exponential smoothing, Census X-11 deseasonalization, ARIMA, intervention, move functionality, and autoregressive errors versions and has short discussions of ARCH and GARCH types. The publication beneficial properties remedies of forecast development with regression and autoregression mixture versions and version and forecast assessment, in addition to a pattern measurement research for universal time sequence versions to achieve sufficient statistical strength. to augment the book's price as a educating instrument, the information units and courses utilized in the booklet are made to be had at the educational Press site. The cautious linkage of the theoretical constructs with the sensible concerns considering using the statistical applications makes it effortless for the person to correctly observe those ideas. Key gains* Describes vital techniques to time sequence research and forecasting* offers examples from public opinion examine, coverage research, political technological know-how, economics, and sociology* unfastened site includes the knowledge utilized in such a lot chapters, facilitating studying* Math point pitched to common social technological know-how utilization* thesaurus makes the cloth available for readers in any respect degrees

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Extra resources for An Introduction to Time Series Analysis and Forecasting: With Applications of SASA® and SPSSA®

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LAG OPERATOR The lag operator, symbolized by L, is also used for much of this analysis. Originally, Box and Jenkins used a B to designate the same operator, which they called the backshift operator. The lag operator used on a variable at time t refers to the value of the same variable at time t Ϫ 1; therefore, Lyt ϭ ytϪ1 . Similarly, 2LYT ϭ 2YtϪ1 . The lag operator backshifts the focus one lag or time period. The algebra of the lag is similar to that of the exponential operator. More generally, Ln Lm (Yt) ϭ Lnϩm(Yt) ϭ YtϪnϪm .

6. SCOPE OF APPLICATION Time series data abound in many different fields. There are clearly time series in political science (measures of presidential approval, proportion of the vote that is Democratic or Republican). Many series can be found in economics (GPI, GNP, GDP, CPI, national unemployment, and exchange rate fluctuations, to name a few). There are multiple series in sociology (for example, immigration rates, crime rates of particular offenses, population size, percentage of the population employed).

Other software may be used to produce the appropriate time sequence charts. 9. METHODOLOGICAL APPROACHES This book presents four basic approaches to analyzing time series data. It examines smoothing methods, decomposition models, Box–Jenkins time series models, and autoregression models for time series analysis and forecasting. Although all of the methods may use extrapolation, the exponential smoothing and calendar-based decomposition methods are sometimes called extrapolative methods. Univariate Box–Jenkins models are sometimes called noncausal models, where the objective is to describe the series and to base prediction on the formulated model rather than to explain what influences them.

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