This comprehensive, easy-to-use reference explains which forecasting methods work, which don't -- and why. Leading forecasters, planners, and developers address specific issues and problems of forecasting, including management requirements for forecasts, techniques for preparing forecasts, issues in forecasting applications, and managing the forecasting function. This updated edition features new chapters on load forecasting, demographic forecasting, high-order smoothing methods, ARIMA models and forecasting using experience curves. Also examines the forecasting challenges of the 80's and offers pinpoint guidance to management planning techniques.
Author(s): Makridakis S., Wheelwright S.S., McGee V.E.
Edition: 2nd
Publisher: Wiley
Year: 1983
Language: English
Pages: 942
Tags: Финансово-экономические дисциплины;Прогнозирование социально-экономических процессов;
Makridakis S., Wheelwright S.S.,McGee V.E.Forecasting_Methods and Applications(Wiley; 2nd ed.1983(ISBN 0471086109)(600dpi)(942p) ......Page 3
Copyright ......Page 4
Preface ix ......Page 8
Contents xiii ......Page 12
PART ONE BACKGROUND AND PERSPECTIVE xx ......Page 18
1/INTRODUCTION 2 ......Page 20
1/1 Needs and Uses of Forecasting 3 ......Page 21
1/2 Current Status of Forecasting Techniques 6 ......Page 24
1/3 The Future of Forecasting 12 ......Page 30
REFERENCES AND SELECTED BIBLIOGRAPHY 14 ......Page 32
2/FUNDAMENTALS OF QUANTITATIVE FORECASTING 16 ......Page 34
2/1 Explanatory versus Time-Series Forecasting 17 ......Page 35
2/2 Least Squares Estimates 19 ......Page 37
2/3 Discovering and Describing Existing Relationships or Patterns 25 ......Page 43
2/4 Useful Descriptive Statistics 31 ......Page 49
2/5 The Accuracy of Forecasting Methods 43 ......Page 61
APPENDIX 2-A NOTATION FOR QUANTITATIVE FORECASTING 55 ......Page 73
APPENDIX 2-B SUMMATION SIGN ? 56 ......Page 74
EXERCISES 58 ......Page 76
PART TWO SMOOTHING AND DECOMPOSITION TIME-SERIES METHODS 62 ......Page 80
3/SMOOTHING METHODS 64 ......Page 82
3/1 Introduction 65 ......Page 83
3/2 Averaging Methods 69 ......Page 87
3/3 Exponential Smoothing Methods 84 ......Page 102
3/4 Other Smoothing lyiethods 111 ......Page 129
3/5 A Comparison of Methods 116 ......Page 134
3/6 General Aspects of Smoothing Methods 117 ......Page 135
3/7 Development of the Mathematical Basis of Smoothing Methods 119 ......Page 137
APPENDIX 3-A INITIAL VALUES FOR EXPONENTIAL SMOOTHING APPROACHES 121 ......Page 139
REFERENCES AND SELECTED BIBLIOGRAPHY 124 ......Page 142
EXERCISES 125 ......Page 143
4/DECOMPOSITION METHODS 130 ......Page 148
4/1 Introduction 131 ......Page 149
4/2 Trend Fitting 135 ......Page 153
4/3 The Ratio-to-Moving Averages Classical Decomposition Method 137 ......Page 155
4/4 Different Types of Moving Averages 141 ......Page 159
4/5 The Census II Decomposition Method 149 ......Page 167
4/6 Developments in Decomposition Methods 176 ......Page 194
REFERENCES AND SELECTED BIBLIOGRAPHY 179 ......Page 197
EXERCISES 180 ......Page 198
PART THREE REGRESSION AND ECONOMETRIC METHODS 184 ......Page 202
5/SIMPLE REGRESSION 186 ......Page 204
5/1 Introduction to Regression Methods 187 ......Page 205
5/2 Simple Regression 189 ......Page 207
5/3 The Correlation Coefficient 203 ......Page 221
5/4 Simple Regression and the Correlation Coefficient 215 ......Page 233
5/5 The Significance of a Regression Equation 219 ......Page 237
APPENDIX 5-A DETERMINING THE VALUES OF a AND b IN Y = a + bX 230 ......Page 248
APPENDIX 5-B VARIANCES AND COVARIANCES IN SIMPLE REGRESSION 233 ......Page 251
APPENDIX 5-C PARTITIONING THE TOTAL VARIANCE INTO EXPLAINED AND UNEXPLAINED VARIANCE 239 ......Page 257
EXERCISES 241 ......Page 259
6/MULTIPLE REGRESSION 246 ......Page 264
6/1 Introduction to Multiple Linear Regression 247 ......Page 265
6/2 Selecting Independent Variables and Model Specification 276 ......Page 294
6/3 Multicollinearity 288 ......Page 306
6/4 Multiple Regression and Forecasting 296 ......Page 314
APPENDIX 6-A SOLVING FOR THE COEFFICIENTS IN MULTIPLE LINEAR REGRESSION 304 ......Page 322
APPENDIX 6-B THE JOINT DISTRIBUTION OF THE b- COEFFICIENTS 308 ......Page 326
APPENDIX 6-C THE DURBIN-WATSON STATISTIC 310 ......Page 328
EXERCISES 312 ......Page 330
7/ECONOMETRIC MODELS AND FORECASTING 318 ......Page 336
7/1 The Basis of Econometric Modeling 319 ......Page 337
7/2 The Advantages of Drawbacks of Econometric Methods 322 ......Page 340
7/3 Specification and Identification 323 ......Page 341
7/4 Development and Application of Econometric Models 325 ......Page 343
APPENDIX 7-A ESTIMATION PROCEDURES USED WITH ECONOMETRIC METHODS 338 ......Page 356
APPENDIX 7-B FORECASTING TECHNIQUES AND DATA SOURCES FOR U.S. MACROECONOMIC VARIABLES 342 ......Page 360
REFERENCES AND SELECTED BIBLIOGRAPHY 345 ......Page 363
EXERCISES 346......Page 364
PART FOUR BOX-JENKINS (ARIMA) TIME-SERIES METHODS 352 ......Page 370
8/FUNDAMENTALS OF TIME-SERIES ANALYSIS 354 ......Page 372
8/1 Introduction 355 ......Page 373
8/2 Models for Time-Series Data 358 ......Page 376
11/4 Data Management 563 ......Page 581
8/4 Applications of Time-Series Analysis 376 ......Page 394
8/5 Recapitulation 388 ......Page 406
APPENDIX 8-A THE BOX-PIERCE 0 STATISTIC 390 ......Page 418
APPENDIX 8-B FITTING SINE WAVES TO TIME-SERIES DATA 392 ......Page 420
EXERCISES 405 ......Page 423
9/THE BOX-JENKINS METHOD 412 ......Page 430
9/2 Identification 413 ......Page 431
9/3 Estimating the Parameters 441 ......Page 459
9/4 Diagnostic Checking 446 ......Page 464
9/5 Forecasting with ARIMA Models 449 ......Page 467
9/6 Recapitulation 451 ......Page 469
APPENDIX 9-A INITIAL VALUES FOR THE PARAMETERS OF AR AND MA MODELS 456 ......Page 474
APPENDIX 9-B INITIAL ESTIMATES FOR MIXED ARMA MODELS 461 ......Page 479
REFERENCES AND SELECTED BIBLIOGRAPHY 463 ......Page 481
EXERCISES 464 ......Page 482
10/MULTIVARIATE TIME-SERIES ANALYSIS 478 ......Page 506
10/1 Introduction 479 ......Page 507
10/2 An Overview of the Foundations of Transfer Function Modeling 481 ......Page 509
10/3 Identification of a Transfer Function Model 500 ......Page 518
10/4 Estimation of the Parameters of the Model 517 ......Page 535
10/5 Diagnostic Checking of the Model 520 ......Page 538
10/6 Forcasting Using Transfer Function Models 526 ......Page 544
10/7 Other Multivariate Models 527 ......Page 545
10/8 Prognosis 534 ......Page 552
REFERENCES AND SELECTED BIBLIOGRAPHY 535 ......Page 553
EXERCISES 537 ......Page 555
PART FIVE INFORMATION NEEDS AND MORE QUALITATIVE METHODS 544 ......Page 562
11/DATA REQUIREMENTS FOR FORECASTING 546 ......Page 564
11/1 Definition and Specification of Variables in Forecasting 547 ......Page 565
11/2 Data Procurement 550 ......Page 568
11/3 Data Preparation 557 ......Page 575
11/5 Summary 567 ......Page 585
REFERENCES AND SELECTED BIBLIOGRAPHY 568 ......Page 586
EXERCISES 569 ......Page 587
12/PREDICTING THE CYCLE 594 ......Page 612
12/1 Introduction 595 ......Page 613
12/2 Business Cycles 599 ......Page 617
12/3 Causes of Business Cycles 602 ......Page 620
12/4 Anticipatory Surveys 604 ......Page 622
12/5 Leading Indicators 605 ......Page 623
12/6 Paired Indices 610 ......Page 628
12/7 Tracking the Evolution of Cycles 616 ......Page 634
12/8 Cycle Forecasting for the Individual Business 619 ......Page 637
REFERENCES AND SELECTED BIBLIOGRAPHY 628 ......Page 646
EXERCISES 629 ......Page 647
13/QUALITATIVE AND TECHNOLOGICAL METHODS OF FORECASTING 636 ......Page 654
13/1 Introduction 637 ......Page 655
13/2 Subjective Assessment Methods 639 ......Page 657
13/3 Exploratory Methods of Technological Forecasting 651 ......Page 669
13/4 Normative Approaches to Technological Forecasting 668 ......Page 686
REFERENCES AND SELECTED BIBLIOGRAPHY 680 ......Page 698
EXERCISES 683 ......Page 701
PART SIX INTEGRATING FORECASTING AND PLANNING IN PRACTICE 704 ......Page 722
14/FORECASTING AND PLANNING 706 ......Page 724
14/1 The Role of Forecasting in Planning 707 ......Page 725
14/2 Relating Forecasting and Planning in the Organization 709 ......Page 727
14/3 Forecasting as Input to Planning and Decision Making 716 ......Page 734
14/4 Contribution of Forecasting to Analysis and Understanding 723 ......Page 741
REFERENCES AND SELECTED BIBLIOGRAPHY 732 ......Page 750
EXERCISES 733 ......Page 751
15/COMPARISON AND SELECTION OF FORECASTING METHODS 760 ......Page 778
15/1 The Accuracy of Forecasting Methods 763 ......Page 781
15/2 Pattern of the Data and Its Effects on Individual Forecasting Methods 776 ......Page 794
15/3 Time Horizon Effects on Forecasting Methods 778 ......Page 796
15/4 Impact of Type of-Series on Forecasting Methods 779 ......Page 797
15/5 The Costs of Forecasting Methods 782 ......Page 800
15/6 The Ease of Application of Forecasting Methods 785 ......Page 803
15/7 An Interactive Procedure for Selecting, Running, and Comparing Alternative Forecasting Methods 787 ......Page 805
15/8 Summary 788 ......Page 806
REFERENCES AND SELECTED BIBLIOGRAPHY 789 ......Page 807
EXERCISES 791 ......Page 809
16/MANAGING THE FORECASTING FUNCTION 794 ......Page 812
16/1 A Review of Forecasting in Business Firms in the 1970s 796 ......Page 814
16/2 Correcting an Organization’s Forecasting Problems 802 ......Page 820
16/3 Managing a Forecasting Function 813 ......Page 831
16/4 Summary and Recommendations 826 ......Page 844
REFERENCES AND SELECTED BIBLIOGRAPHY 828 ......Page 846
EXERCISES 829 ......Page 847
17/Judgmental Factors in Forecasting 840 ......Page 858
17/1 Empirical Evidence on Judgmental Forecasts 841 ......Page 859
17/3 Combining Judgmental and Quantitative Forecasts 845 ......Page 863
REFERENCES AND SELECTED BIBLIOGRAPHY 865 ......Page 883
EXERCISES 872 ......Page 890
A Areas Under the Normal Curve 878 ......Page 896
B Critical Values for the t Statistic 879 ......Page 897
C Critical Values for the F-Statistic 880 ......Page 898
D Values of the Durbin:Watson Statistic 888 ......Page 906
E Critical Points of the Chi-Square (x^2) Statistic 889 ......Page 907
APPENDIX II GLOSSARY OF FORECASTING TERMS 890 ......Page 908
INDEX 915 ......Page 933
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