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Economic Forecasting

An Introduction

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Paperback | 3 June 1991

At a Glance

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224 Pages

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22.86 x 15.24 x 1.3

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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.

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You Can Find This Book In

Non-Fiction Economics Economic Forecasting Political Economy Microeconomics Econometrics

List of figures	p. vii
List of tables	p. vii
Preface	p. ix
Techniques	p. 1
Introduction to forecasting methods	p. 3
Why forecasts are needed	p. 3
Methods of forecasting	p. 6
A review of business forecasting techniques	p. 8
Econometric forecasting	p. 29
Evaluating forecasts	p. 33
Conclusions	p. 41
Time-series methods	p. 43
Introduction	p. 43
Stochastic models of time series	p. 45
Box-Jenkins modelling	p. 50
A worked example	p. 64
Vector autoregression models	p. 69
Cointegration	p. 76
Deterministic and stochastic trends	p. 80
Non-linear time series	p. 82
Combining forecasts	p. 85
Introduction	p. 85
The variance-covariance method	p. 85
The regression method	p. 88
Serial correlation problems	p. 91
Other methods of combination	p. 93
Practical suggestions for combining forecasts	p. 96
The Makridakis forecasting competition	p. 100
Applications	p. 109
Microeconomic forecasting	p. 111
Introduction	p. 111
Demand forecasting	p. 112
Sales and market share forecasting for companies	p. 123
Anticipations data and leading indicators	p. 127
Scenario analysis	p. 134
Other techniques	p. 136
Forecasting with macroeconomic models	p. 140
Introduction	p. 140
Nature of macroeconomic models	p. 140
A simple macroeconomic model	p. 144
Preparing the forecast	p. 145
Judgmental adjustments and forecast errors	p. 150
Forecasting the 1980-1982 recession	p. 151
Decomposition of macroeconomic forecasts	p. 153
Accuracy of macroeconomic forecasts	p. 158
Conclusions	p. 162
Forecasting asset market prices	p. 164
Introduction	p. 164
The efficient markets hypothesis	p. 164
Foreign exchange markets	p. 167
Stock market prices	p. 178
Commodity prices	p. 181
Conclusions	p. 182
Conclusions	p. 183
The choice between different techniques	p. 183
Current developments	p. 187
Economic forecasting and government policy	p. 189
References	p. 191
Author index	p. 205
Subject index	p. 210
Table of Contents provided by Syndetics. All Rights Reserved.

Economic Forecasting

An Introduction

At a Glance

Paperback

Shipping

How to return your order

Defective items

You Can Find This Book In

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