Forecasting with Univariate Box-Jenkins Models: Concepts and Cases

Copyright © 1983 John Wiley & Sons, Inc.

Forecasting with Univariate Box-Jenkins Models: Concepts and Cases

Author(s): Alan Pankratz

Published Online: 27 MAY 2008

Print ISBN: 9780471090236

Online ISBN: 9780470316566

DOI: 10.1002/9780470316566

About this Book

Explains the concepts and use of univariate Box-Jenkins/ARIMA analysis and forecasting through 15 case studies. Cases show how to build good ARIMA models in a step-by-step manner using real data. Also includes examples of model misspecification. Provides guidance to alternative models and discusses reasons for choosing one over another.

Table of contents

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      Frontmatter (pages i–xiv)

    2. Chapter 1

      Overview (pages 3–23)

    3. Chapter 2

      Introduction to Box—Jenkins Analysis of a Single Data Series (pages 24–44)

    4. Chapter 3

      Underlying Statistical Principles (pages 45–79)

    5. Chapter 4

      An Introduction to the Practice of ARIMA Modeling (pages 80–93)

    6. Chapter 5

      Notation and the Interpretation of ARIMA Models (pages 94–118)

    7. Chapter 6

      Identification: Stationary Models (pages 119–154)

    8. Chapter 7

      Identification: Nonstationary Models (pages 154–192)

    9. Chapter 8

      Estimation (pages 193–223)

    10. Chapter 9

      Diagnostic Checking (pages 224–239)

    11. Chapter 10

      Forecasting (pages 240–264)

    12. Chapter 11

      Seasonal and Other Periodic Models (pages 265–295)

    13. Chapter 12

      Practical Rules (pages 297–310)

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      Case Studies: Introduction (pages 311–314)

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      Case 1. Change in Business Inventories (pages 315–327)

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      Case 2. Saving Rate (pages 328–346)

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      Case 3. Coal Production (pages 347–368)

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      Case 4. Housing Permits (pages 369–390)

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      Case 5. Rail Freight (pages 391–401)

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      Case 6. AT & T Stock Price (pages 402–410)

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      Case 7. Real-Estate Loans (pages 411–424)

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      Case 8. Parts Availability (pages 425–440)

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      Case 9. Air-Carrier Freight (pages 441–462)

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      Case 10. Profit Margin (pages 463–471)

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      Case 11. Boston Armed Robberies (pages 472–491)

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      Case 12. Machine-Tool Shipments (pages 492–505)

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      Case 13. Cigar Consumption (pages 506–522)

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      Case 14 College Enrollment (pages 523–533)

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      Case 15 Exports (pages 534–552)

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      Tables (pages 553–556)

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      Wiley Series in Probability and Mathematical Statistics (pages 1–5)

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      References (pages 553–555)

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      Index (pages 557–562)

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