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Forecasting with Univariate Box-Jenkins Models: Concepts and Cases, 2nd Edition

Forecasting with Univariate Box-Jenkins Models: Concepts and Cases, 2nd Edition

Alan Pankratz

ISBN: 978-1-119-18141-5

Feb 2022

448 pages

Select type: O-Book

Description

Explaining the concepts and use of univariate Box-Jenkins/ARIMA analysis and forecasting through case studies, Forecasting with Univariate Box-Jenkins Models maintains the strengths of its acclaimed predecessor, including its clear and exceedingly accurate explanations, the accessibility to students and practitioners with a modest background in statistical methods, and the emphasis on the application of univariate ARIMA analysis. This second edition is updated with new topics, including: automatic model-building procedures; testing for unit roots; use of the extended sample autocorrelation function; out-of-sample tests of forecasting accuracy; transfer function models; and intervention analysis.