Elements of Forecasting (with InfoTrac® 1-Semester, Economic Applications Online Product, Data Sets 4e

ISBN-13: 9780324323597 / ISBN-10: 032432359X

Francis X. Diebold, University of Pennsylvania
458pp
Published by Cengage Learning, ©2007
£64.00

Written by a leading expert on forecasting, this concise and modern text focuses on the core techniques of widest applicability and assumes only an elementary background in statistics. It is applications-oriented and illustrates all methods with detailed real-world applications, many of them international in flavor, designed to mimic typical forecasting situations. In many chapters, the application is the centerpiece of the presentation.

Features

  • Modern Coverage: Although the book uses only elementary mathematics, it conveys a strong feel for the important advances made since the work of Box and Jenkins more than thirty years ago.
  • Selective Coverage: The book des not attempt to be exhaustive in coverage. Instead, the coverage is intentionally selective, focusing on the core techniques with the widest applicability.
  • Applications-Oriented: This book is extremely applications-oriented with detailed, real-world examples. Many of the applications have been chosen from a variety of fields (including economics, public policy, and engineering) to illustrate all methods.
  • Graphics and Forecasting Chapters: This text offers full chapters on Statistical Graphics (chapter 3) and Evaluating and Combining Forecasts (chapter 12).
  • Standard and Modern Topics: This text offers a nice blend of traditional and modern topics. You will find the traditional topics (trend, seasonality, and cycles) as well as more modern topics such as model selection, volatility models, unit roots and stochastic trends, vector autoregressions, and cointegration covered.
  • Modern Modeling Software: This text is in touch with modern modeling and forecasting software. Many of the data and Eviews programs used in the text are included on downloadable Excel templates available at the text Web site.

1. Introduction to Forecasting: Applications, Methods, Books, Journals, and Software.
Appendix: The Linear Regression Model.
2. Six Considerations Basic to Successful Forecasting.
3. Statistical Graphics for Forecasting.
4. Modeling and Forecasting Trend.
5. Modeling and Forecasting Seasonality.
6. Characterizing Cycles.
7. Modeling Cycles: MA, AR, and ARMA Models.
8. Forecasting Cycles.
9. Putting it All Together: A Forecasting Model with Trend, Seasonal, and Cyclical Components.
10. Forecasting with Regression Models.
11. Evaluating and Combining Forecasts.
12. Unit Roots, Stochastic Trends, ARIMA Forecasting Models, and Smoothing.
13. Volatility Measurement, Modeling and Forecasting.
  • Expanded Cointegration Coverage: At the suggestion of reviewers, new material on the topic of cointegration has been added to the fourth edition.
  • New Short Exercises: Short, drill-type exercises that follow the examples and concepts presented in the text have been added to the end of each chapter.
  • Statistical Review: The appendix to Chapter 2 has been expanded to include a review of basic statistics that will allow students to start the course at a level of similar quantitative understanding.
{Supplements}

"The text is excellent from instructor’s perspective. It is focused and comprehensive. The text is empirically oriented. It covers major issues of time-series econometrics at the undergraduate level. Including several comprehensive applications is a unique and outstanding feature of this book."
Zili Yang, SUNY at Binghamton

"I will adopt the new edition. Coverage and organization of the book are excellent and focused on the student while giving many pointers and references to advanced material and even current research."
Eric Hillebrand, Louisiana State University

"The strength of the Diebold text is that it covers sufficiently diverse topics related to forecasting methods (compared with other books in the market). Also, its nicely organized flow of the topics should be very accessible to many readers, which is the primary reason why I assigned this book to my students."

Francis X. Diebold
Francis X. Diebold is William Polk Carey Professor of Economics, and Professor of Finance and Statistics, at the University of Pennsylvania and its Wharton School, and Faculty Research Associate at the National Bureau of Economic Research in Cambridge, Mass. He is a leader in forecasting, econometrics, risk management, quantitative finance, and macroeconomics, with extensive experience simultaneously in academic, corporate, and policy circles. Dr. Diebold has published more than one hundred articles and ten books and edited volumes. He has received widespread recognition for his work, including election to Fellowship in the Econometric Society, Sloan and Guggenheim Fellowships, and election to advisory and editorial boards of numerous leading journals, including Econometrica and Review of Economics and Statistics. Dr. Diebold is equally active in corporate and policy affairs, and he is consulted regularly by financial firms, governments and multilateral organizations, worldwide. His latest book is Measuring and Forecasting Financial Market Volatilities and Correlations. Dr. Diebold is a popular lecturer, both in the U.S. and internationally. He has held visiting appointments in Economics and Finance at Princeton University, Cambridge University, the University of Chicago, the London School of Economics, and New York University. He is also active in executive education; his ongoing annual courses include those at the International Monetary Fund (Washington, DC) and FAME (Geneva). He has received several prizes for outstanding teaching. Dr. Diebold received his B.S. from the Wharton School in 1981 and his Ph.D. in 1986. Before returning to the University of Pennsylvania in 1989, he worked as an economist under Paul Volcker and Alan Greenspan at the Board of Governors of the Federal Reserve System in Washington DC. He is married with three children and lives in Wayne, Pennsylvania.