Time Series Models for Business and Economic Forecasting Book

Part I. Introduction; Part II. Key Features of Economic Time Series: 1. Trends; 2. Seasonality; 3. Aberrant observations; 4. Conditional heteroskedasticity; 5. Nonlinearity; 6. Common features; Part III. Useful Concepts in Univariate Time Series Analysis: 7. Autoregressive moving average models; 8. Autocorrelation and identification; 9. Estimation and diagnostic measures; 10. Model selection; 11. Forecasting; Part IV. Trends: 12. Modeling trends; 13. Testing for unit roots; 14. Testing for stationarity; 15. Forecasting; Part V. Seasonality: 16. Typical features of seasonal time series; 17. Seasonal unit roots; 18. Periodic models; 19. Miscellaneous topics; Part VI. Aberrant Observations: 20. Modeling aberrant observations; 21. Testing for aberrant observations; 22. Irregular data and unit roots; Part VII. Conditional Heteroskedasticity: 23. Models for heteroskedasticity; 24. Specification and forecasting; 25. Various extensions; Part VIII. Nonlinearity: 26. Some models and their properties; 27. Empirical specification strategy; Part IX. Multivariate Time Series: 28. Representations; 29. Empirical model building; 30. Use of VAR models; Part X. Common Features: 31. Some preliminaries for a bivariate time series; 32. Common trends and co-integration; 33. Common seasonality and other features; Data appendix.