Time series models in business and economic forecasting

Author: Francis
Publisher:
Publish Date: 2002-12-01
Features: This is a comprehensive textbook covering all aspects of time series analysis, spanning thousands of pages. For example, regarding unit root analysis, the pace of expansion and changes in this field are so rapid that dedicating more pages to this topic alone would require more than this book. Therefore, this book does not aim to provide a complete introduction to all existing content in time series analysis. It is clear that making this choice comes at a cost. The main field of research and application is the econometric analysis of economic and business time series. In recent decades, there has been increasing interest in theory and practical applications regarding the construction of time series models and their application in forecasting. Many new directions have emerged in modern time series applications, such as unit roots, cointegration, CARCH models, varying seasonality, outlier observations, and nonlinearity. Although it cannot be convincingly argued that better forecasts can be achieved in all these directions, many of them will persist and become tools for practical forecasting in the next decade. The purpose of this book is to review some of the recent developments in these methods from the perspective of forecasting economic and business time series.