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Economic and Business Forecasting: Analyzing and Interpreting Econometric Results

Book Description

Discover the secrets to applying simple econometric techniques to improve forecasting

Equipping analysts, practitioners, and graduate students with a statistical framework to make effective decisions based on the application of simple economic and statistical methods, Economic and Business Forecasting offers a comprehensive and practical approach to quantifying and accurate forecasting of key variables. Using simple econometric techniques, author John E. Silvia focuses on a select set of major economic and financial variables, revealing how to optimally use statistical software as a template to apply to your own variables of interest.

  • Presents the economic and financial variables that offer unique insights into economic performance

  • Highlights the econometric techniques that can be used to characterize variables

  • Explores the application of SAS software, complete with simple explanations of SAS-code and output

  • Identifies key econometric issues with practical solutions to those problems

  • Presenting the "ten commandments" for economic and business forecasting, this book provides you with a practical forecasting framework you can use for important everyday business applications.

    Table of Contents

    1. Cover Page
    2. Title Page
    3. Copyright
    4. Dedication
    5. Epigraph
    6. Contents
    7. Preface
    8. Acknowledgments
    9. CHAPTER 1: Creating Harmony Out of Noisy Data
      1. EFFECTIVE DECISION MAKING: CHARACTERIZE THE DATA
    10. CHAPTER 2: First, Understand the Data
      1. GROWTH: HOW IS THE ECONOMY DOING OVERALL?
      2. PERSONAL CONSUMPTION
      3. GROSS PRIVATE DOMESTIC INVESTMENT
      4. GOVERNMENT PURCHASES
      5. NET EXPORTS OF GOODS AND SERVICES
      6. REAL FINAL SALES AND GROSS DOMESTIC PURCHASES
      7. THE LABOR MARKET: ALWAYS A CORE ISSUE
      8. ESTABLISHMENT SURVEY
      9. DATA REVISION: A SPECIAL CONSIDERATION
      10. THE HOUSEHOLD SURVEY
      11. MARRYING THE LABOR MARKET INDICATORS TOGETHER
      12. JOBLESS CLAIMS
      13. INFLATION
      14. CONSUMER PRICE INDEX: A SOCIETY'S INFLATION BENCHMARK
      15. PRODUCER PRICE INDEX
      16. PERSONAL CONSUMPTION EXPENDITURE DEFLATOR: THE INFLATION BENCHMARK FOR MONETARY POLICY
      17. INTEREST RATES: PRICE OF CREDIT
      18. THE DOLLAR AND EXCHANGE RATES: THE UNITED STATES IN A GLOBAL ECONOMY
      19. CORPORATE PROFITS
      20. SUMMARY
    11. CHAPTER 3: Financial Ratios
      1. PROFITABILITY RATIOS
      2. SUMMARY
    12. CHAPTER 4: Characterizing a Time Series
      1. WHY CHARACTERIZE A TIME SERIES?
      2. HOW TO CHARACTERIZE A TIME SERIES
      3. APPLICATION: JUDGING ECONOMIC VOLATILITY
      4. SUMMARY
    13. CHAPTER 5: Characterizing a Relationship between Time Series
      1. IMPORTANT TEST STATISTICS IN IDENTIFYING STATISTICALLY SIGNIFICANT RELATIONSHIPS
      2. SIMPLE ECONOMETRIC TECHNIQUES TO DETERMINE A STATISTICAL RELATIONSHIP
      3. ADVANCED ECONOMETRIC TECHNIQUES TO DETERMINE A STATISTICAL RELATIONSHIP
      4. SUMMARY
      5. ADDITIONAL READING
    14. CHAPTER 6: Characterizing a Time Series Using SAS Software
      1. TIPS FOR SAS USERS
      2. THE DATA STEP
      3. THE PROC STEP
      4. SUMMARY
    15. CHAPTER 7: Testing for a Unit Root and Structural Break Using SAS Software
      1. TESTING A UNIT ROOT IN A TIME SERIES: A CASE STUDY OF THE U.S. CPI
      2. IDENTIFYING A STRUCTURAL CHANGE IN A TIME SERIES
      3. THE APPLICATION OF THE HP FILTER
      4. APPLICATION: BENCHMARKING THE HOUSING BUST, BEAR STEARNS, AND LEHMAN BROTHERS
      5. SUMMARY
    16. CHAPTER 8: Characterizing a Relationship Using SAS
      1. USEFUL TIPS FOR AN APPLIED TIME SERIES ANALYSIS
      2. CONVERTING A DATASET FROM ONE FREQUENCY TO ANOTHER
      3. APPLICATION: DID THE GREAT RECESSION ALTER CREDIT BENCHMARKS?
      4. SUMMARY
    17. CHAPTER 9: The 10 Commandments of Applied Time Series Forecasting for Business and Economics
      1. COMMANDMENT 1: KNOW WHAT YOU ARE FORECASTING
      2. COMMANDMENT 2: UNDERSTAND THE PURPOSE OF FORECASTING
      3. COMMANDMENT 3: ACKNOWLEDGE THE COST OF THE FORECAST ERROR
      4. COMMANDMENT 4: RATIONALIZE THE FORECAST HORIZON
      5. COMMANDMENT 5: UNDERSTAND THE CHOICE OF VARIABLES
      6. COMMANDMENT 6: RATIONALIZE THE FORECASTING MODEL USED
      7. COMMANDMENT 7: KNOW HOW TO PRESENT THE RESULTS
      8. COMMANDMENT 8: KNOW HOW TO DECIPHER THE FORECAST RESULTS
      9. COMMANDMENT 9: UNDERSTAND THE IMPORTANCE OF RECURSIVE METHODS
      10. COMMANDMENT 10: UNDERSTAND FORECASTING MODELS EVOLVE OVER TIME
      11. SUMMARY
    18. CHAPTER 10: A Single-Equation Approach to Model-Based Forecasting
      1. THE UNCONDITIONAL (ATHEORETICAL) APPROACH
      2. THE CONDITIONAL (THEORETICAL) APPROACH
      3. RECESION FORECAST USING A PROBIT MODEL
      4. SUMMARY
    19. CHAPTER 11: A Multiple-Equations Approach to Model-Based Forecasting
      1. THE IMPORTANCE OF THE REAL-TIME SHORT-TERM FORECASTING
      2. THE INDIVIDUAL FORECAST VERSUS CONSENSUS FORECAST: IS THERE AN ADVANTAGE?
      3. THE ECONOMETRICS OF REAL-TIME SHORT-TERM FORECASTING: THE BVAR APPROACH
      4. FORECASTING IN REAL TIME: ISSUES RELATED TO THE DATA AND THE MODEL SELECTION
      5. CASE STUDY: WFC VERSUS BLOOMBERG
      6. SUMMARY
      7. APPENDIX 11A: LIST OF VARIABLES
    20. CHAPTER 12: A Multiple-Equations Approach to Long-Term Forecasting
      1. THE UNCONDITIONAL LONG-TERM FORECASTING: THE BVAR MODEL
      2. THE BVAR MODEL WITH HOUSING STARTS
      3. THE MODEL WITHOUT OIL PRICE SHOCK
      4. THE MODEL WITH OIL PRICE SHOCK
      5. SUMMARY
    21. CHAPTER 13: The Risks of Model-Based Forecasting: Modeling, Assessing, and Remodeling
      1. RISKS TO SHORT-TERM FORECASTING: THERE IS NO MAGIC BULLET
      2. RISKS OF LONG-TERM FORECASTING: BLACK SWAN VERSUS A GROUP OF BLACK SWANS
      3. MODEL-BASED FORECASTING AND THE GREAT RECESSION/FINANCIAL CRISIS: WORST-CASE SCENARIO VERSUS PANIC
      4. SUMMARY
    22. CHAPTER 14: Putting the Analysis to Work in the Twenty-First-Century Economy
      1. BENCHMARKING ECONOMIC GROWTH
      2. INDUSTRIAL PRODUCTION: ANOTHER CASE OF STATIONARY BEHAVIOR
      3. EMPLOYMENT: JOBS IN THE TWENTY-FIRST CENTURY
      4. INFLATION
      5. INTEREST RATES
      6. IMBALANCES BETWEEN BOND YIELDS AND EQUITY EARNINGS
      7. A NOTE OF CAUTION ON PATTERNS OF INTEREST RATES
      8. BUSINESS CREDIT: PATTERNS REMINISCENT OF CYCLICAL RECOVERY
      9. PROFITS
      10. FINANCIAL MARKET VOLATILITY: ASSESSING RISK
      11. DOLLAR
      12. ECONOMIC POLICY: IMPACT OF FISCAL POLICY AND THE EVOLUTION OF THE U.S. ECONOMY
      13. THE LONG-TERM DEFICIT BIAS AND ITS ECONOMIC IMPLICATIONS
      14. SUMMARY
    23. APPENDIX: Useful References for SAS Users
    24. About the Author
    25. Index