Forecasting in Business and Economics

  1. Quantitative Forecasting: Time Series Models
    1. Foundational Concepts
      1. Stationarity
        1. Weak Stationarity
          1. Strong Stationarity
            1. Trend Stationarity
              1. Testing for Stationarity
                1. Augmented Dickey-Fuller Test
                  1. KPSS Test
                    1. Phillips-Perron Test
                  2. Autocorrelation
                    1. Autocorrelation Function
                      1. Partial Autocorrelation Function
                        1. Interpretation of ACF and PACF
                        2. White Noise and Random Walks
                          1. Properties of White Noise
                            1. Random Walk Models
                              1. Random Walk with Drift
                            2. Simple Forecasting Methods
                              1. Naive Forecasts
                                1. Last Observation Carried Forward
                                  1. Performance Characteristics
                                  2. Seasonal Naive Forecasts
                                    1. Last Seasonal Value Carried Forward
                                      1. Seasonal Period Selection
                                      2. Average Methods
                                        1. Mean Forecast
                                          1. Moving Average Forecast
                                            1. Weighted Average Forecast
                                            2. Drift Method
                                              1. Linear Trend Extrapolation
                                            3. Moving Averages
                                              1. Simple Moving Average
                                                1. Window Size Selection
                                                  1. Centered vs. Trailing Averages
                                                  2. Weighted Moving Average
                                                    1. Weight Assignment Strategies
                                                      1. Exponentially Declining Weights
                                                      2. Double Moving Average
                                                        1. Trend Adjustment
                                                      3. Exponential Smoothing Models
                                                        1. Simple Exponential Smoothing
                                                          1. Smoothing Parameter Selection
                                                            1. Initialization Methods
                                                            2. Holt's Linear Trend Method
                                                              1. Level and Trend Smoothing
                                                                1. Parameter Optimization
                                                                2. Holt-Winters' Seasonal Method
                                                                  1. Additive Seasonality
                                                                    1. Multiplicative Seasonality
                                                                      1. Parameter Estimation
                                                                        1. Initialization of Seasonal Indices
                                                                        2. Damped Trend Models
                                                                          1. Damping Parameter
                                                                            1. Forecasting Performance
                                                                            2. ETS Framework
                                                                              1. Error Types
                                                                                1. Trend Types
                                                                                  1. Seasonal Types
                                                                                    1. Model Selection Criteria
                                                                                  2. Autoregressive Integrated Moving Average Models
                                                                                    1. The Box-Jenkins Methodology
                                                                                      1. Model Identification
                                                                                        1. Model Estimation
                                                                                          1. Model Diagnostics
                                                                                            1. Forecasting
                                                                                            2. Model Components
                                                                                              1. Autoregressive Component
                                                                                                1. Integrated Component
                                                                                                  1. Moving Average Component
                                                                                                  2. Model Identification
                                                                                                    1. Using ACF and PACF
                                                                                                      1. Order Selection
                                                                                                        1. Information Criteria
                                                                                                          1. AIC
                                                                                                            1. BIC
                                                                                                              1. HQC
                                                                                                            2. Parameter Estimation
                                                                                                              1. Maximum Likelihood Estimation
                                                                                                                1. Least Squares Estimation
                                                                                                                  1. Conditional vs. Exact Likelihood
                                                                                                                  2. Diagnostic Checking
                                                                                                                    1. Residual Analysis
                                                                                                                      1. Ljung-Box Test
                                                                                                                        1. Jarque-Bera Test
                                                                                                                          1. ARCH Test
                                                                                                                          2. Seasonal ARIMA Models
                                                                                                                            1. Seasonal Differencing
                                                                                                                              1. Seasonal Parameters
                                                                                                                                1. Model Notation
                                                                                                                                2. ARIMA Variations
                                                                                                                                  1. ARIMAX Models
                                                                                                                                    1. Fractional ARIMA
                                                                                                                                      1. Threshold ARIMA

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                                                                                                                                  3. Qualitative Forecasting Methods

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                                                                                                                                  5. Quantitative Forecasting: Causal Models