O'Reilly logo

Economic and Business Forecasting: Analyzing and Interpreting Econometric Results by Sam Bullard, Sarah Watt, Kaylyn Swankoski, Azhar Iqbal, John Silvia

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Index

ACF (autocorrelation function), 8689

ADF test. See Augmented Dickey-Fuller (ADF) test

Adjusted R2, 117

Akaike information criterion (AIC):

for characterizing time series, 147149

to determine autocorrelation order, 194196

formula for, 151

for model selection, 118119, 146, 182

Anchoring bias, 3, 14, 318319, 325326, 337, 346347, 361

Applications:

benchmarking housing bust, Bear Stearns, and Lehman Brothers, 172177

Box-Jenkins method, 245250

BVAR approach, 274275

judging economic volatility, 101109

multiple-equations forecasting, 280288

Probit model, 258261

relationship characterization for Great Recession and credit benchmarks, 215221

Taylor rule, 252256

Applied research, tradition of, 2

Applied time series forecasting. See Characteristics of time series; Forecasting; Relationship characterization with SAS software; Relationships between time series; Time series

ARCH (autoregressive conditional heteroskedasticity), 2122, 115, 125126

ARCH/GARCH modeling:

for determining statistical relationships, 124126

with SAS software, 211215

ARIMA (autoregressive integrated moving average), 1718, 2324, 154156, 233

ARIMA (p, d, q) model, 243244

ARMA/ARIMA, 1718, 2324

ARMA (p, q) model, 243

AR (p) notation, 243

Asset bubble forecast, 225

Asymmetric loss functions, 227228

Atheoretical forecasting approach. See Unconditional forecasting model

Augmented Dickey-Fuller (ADF) test:

E-G test compared to, 198

for identifying unit root, 1617

origins of, 91

overview of, 92 ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required