Economic and Business Forecasting: Analyzing and Interpreting Econometric Results

Index

ACF (autocorrelation function), 86–89

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

Adjusted R², 117

Akaike information criterion (AIC):

for characterizing time series, 147–149

to determine autocorrelation order, 194–196

formula for, 151

for model selection, 118–119, 146, 182

Anchoring bias, 3, 14, 318–319, 325–326, 337, 346–347, 361

Applications:

benchmarking housing bust, Bear Stearns, and Lehman Brothers, 172–177

Box-Jenkins method, 245–250

BVAR approach, 274–275

judging economic volatility, 101–109

multiple-equations forecasting, 280–288

Probit model, 258–261

relationship characterization for Great Recession and credit benchmarks, 215–221

Taylor rule, 252–256

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), 21–22, 115, 125–126

ARCH/GARCH modeling:

for determining statistical relationships, 124–126

with SAS software, 211–215

ARIMA (autoregressive integrated moving average), 17–18, 23–24, 154–156, 233

ARIMA (p, d, q) model, 243–244

ARMA/ARIMA, 17–18, 23–24

ARMA (p, q) model, 243

AR (p) notation, 243

Asset bubble forecast, 225

Asymmetric loss functions, 227–228

Atheoretical forecasting approach. See Unconditional forecasting model

Augmented Dickey-Fuller (ADF) test:

E-G test compared to, 198

for identifying unit root, 16–17

origins of, 91

overview of, 92 ...