Economic Forecasting: An Introduction

Contents......Page 3
List of tables......Page 5
Preface......Page 7
PART 1 - Techniques......Page 9
1.1 Why forecasts are needed......Page 11
1.2 Methods of forecasting......Page 14
1.3 A review of business forecasting techniques......Page 16
1.4 Econometric forecasting......Page 37
1.5 Evaluating forecasts......Page 41
1.6 Conclusions......Page 49
2.1 Introduction......Page 51
2.2 Stochastic models of time series......Page 53
2.3 Box--Jenkins modelling......Page 58
2.4 A worked example......Page 72
2.5 Vector autoregression models......Page 77
2.6 Cointegration......Page 84
2.7 Deterministic and stochastic trends......Page 88
2.8 Non-linear time series......Page 90
3.2 The variance-covariance method......Page 93
3.3 The regression method......Page 96
3.4 Serial correlation problems......Page 99
3.5 Other methods of combination......Page 101
3.6 Practical suggestions for combining forecasts......Page 104
3.7 The Makridakis forecasting competition......Page 108
PART 2 - Applications......Page 117
4.1 Introduction......Page 119
4.2 Demand forecasting......Page 120
4.3 Sales and market share forecasting for companies......Page 131
4.4 Anticipations data and leading indicators......Page 135
4.5 Scenario analysis......Page 142
4.6 Other techniques......Page 144
5.2 Nature of macroeconomic models......Page 148
5.3 A simple macroeconomic model......Page 152
5.4 Preparing the forecast......Page 153
5.5 Judgemental adjustments and forecast errors......Page 158
5.6 Forecasting the 1980--1982 recession......Page 159
5.7 Decomposition of macroeconomic forecasts......Page 161
5.8 Accuracy of macroeconomic forecasts......Page 166
5.9 Conclusions......Page 170
6.2 The efficient markets hypothesis......Page 172
6.3 Foreign exchange markets......Page 175
6.4 Stock market prices......Page 186
6.5 Commodity prices......Page 189
6.6 Conclusions......Page 190
7.1 The choice between different techniques......Page 191
7.2 Current developments......Page 195
7.3 Economic forecasting and government policy......Page 197
References......Page 199
Author index......Page 213
Subject index......Page 218