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by Sam Bullard, Sarah Watt, Kaylyn Swankoski, Azhar Iqbal, John Silvia
Economic and Business Forecasting: Analyzing and Interpreting Econometric Results
Cover Page
Title Page
Copyright
Dedication
Epigraph
Contents
Preface
Acknowledgments
CHAPTER 1: Creating Harmony Out of Noisy Data
EFFECTIVE DECISION MAKING: CHARACTERIZE THE DATA
CHAPTER 2: First, Understand the Data
GROWTH: HOW IS THE ECONOMY DOING OVERALL?
PERSONAL CONSUMPTION
GROSS PRIVATE DOMESTIC INVESTMENT
GOVERNMENT PURCHASES
NET EXPORTS OF GOODS AND SERVICES
REAL FINAL SALES AND GROSS DOMESTIC PURCHASES
THE LABOR MARKET: ALWAYS A CORE ISSUE
ESTABLISHMENT SURVEY
DATA REVISION: A SPECIAL CONSIDERATION
THE HOUSEHOLD SURVEY
MARRYING THE LABOR MARKET INDICATORS TOGETHER
JOBLESS CLAIMS
INFLATION
CONSUMER PRICE INDEX: A SOCIETY'S INFLATION BENCHMARK
PRODUCER PRICE INDEX
PERSONAL CONSUMPTION EXPENDITURE DEFLATOR: THE INFLATION BENCHMARK FOR MONETARY POLICY
INTEREST RATES: PRICE OF CREDIT
THE DOLLAR AND EXCHANGE RATES: THE UNITED STATES IN A GLOBAL ECONOMY
CORPORATE PROFITS
SUMMARY
CHAPTER 3: Financial Ratios
PROFITABILITY RATIOS
SUMMARY
CHAPTER 4: Characterizing a Time Series
WHY CHARACTERIZE A TIME SERIES?
HOW TO CHARACTERIZE A TIME SERIES
APPLICATION: JUDGING ECONOMIC VOLATILITY
SUMMARY
CHAPTER 5: Characterizing a Relationship between Time Series
IMPORTANT TEST STATISTICS IN IDENTIFYING STATISTICALLY SIGNIFICANT RELATIONSHIPS
SIMPLE ECONOMETRIC TECHNIQUES TO DETERMINE A STATISTICAL RELATIONSHIP
ADVANCED ECONOMETRIC TECHNIQUES TO DETERMINE A STATISTICAL RELATIONSHIP
SUMMARY
ADDITIONAL READING
CHAPTER 6: Characterizing a Time Series Using SAS Software
TIPS FOR SAS USERS
THE DATA STEP
THE PROC STEP
SUMMARY
CHAPTER 7: Testing for a Unit Root and Structural Break Using SAS Software
TESTING A UNIT ROOT IN A TIME SERIES: A CASE STUDY OF THE U.S. CPI
IDENTIFYING A STRUCTURAL CHANGE IN A TIME SERIES
THE APPLICATION OF THE HP FILTER
APPLICATION: BENCHMARKING THE HOUSING BUST, BEAR STEARNS, AND LEHMAN BROTHERS
SUMMARY
CHAPTER 8: Characterizing a Relationship Using SAS
USEFUL TIPS FOR AN APPLIED TIME SERIES ANALYSIS
CONVERTING A DATASET FROM ONE FREQUENCY TO ANOTHER
APPLICATION: DID THE GREAT RECESSION ALTER CREDIT BENCHMARKS?
SUMMARY
CHAPTER 9: The 10 Commandments of Applied Time Series Forecasting for Business and Economics
COMMANDMENT 1: KNOW WHAT YOU ARE FORECASTING
COMMANDMENT 2: UNDERSTAND THE PURPOSE OF FORECASTING
COMMANDMENT 3: ACKNOWLEDGE THE COST OF THE FORECAST ERROR
COMMANDMENT 4: RATIONALIZE THE FORECAST HORIZON
COMMANDMENT 5: UNDERSTAND THE CHOICE OF VARIABLES
COMMANDMENT 6: RATIONALIZE THE FORECASTING MODEL USED
COMMANDMENT 7: KNOW HOW TO PRESENT THE RESULTS
COMMANDMENT 8: KNOW HOW TO DECIPHER THE FORECAST RESULTS
COMMANDMENT 9: UNDERSTAND THE IMPORTANCE OF RECURSIVE METHODS
COMMANDMENT 10: UNDERSTAND FORECASTING MODELS EVOLVE OVER TIME
SUMMARY
CHAPTER 10: A Single-Equation Approach to Model-Based Forecasting
THE UNCONDITIONAL (ATHEORETICAL) APPROACH
THE CONDITIONAL (THEORETICAL) APPROACH
RECESION FORECAST USING A PROBIT MODEL
SUMMARY
CHAPTER 11: A Multiple-Equations Approach to Model-Based Forecasting
THE IMPORTANCE OF THE REAL-TIME SHORT-TERM FORECASTING
THE INDIVIDUAL FORECAST VERSUS CONSENSUS FORECAST: IS THERE AN ADVANTAGE?
THE ECONOMETRICS OF REAL-TIME SHORT-TERM FORECASTING: THE BVAR APPROACH
FORECASTING IN REAL TIME: ISSUES RELATED TO THE DATA AND THE MODEL SELECTION
CASE STUDY: WFC VERSUS BLOOMBERG
SUMMARY
APPENDIX 11A: LIST OF VARIABLES
CHAPTER 12: A Multiple-Equations Approach to Long-Term Forecasting
THE UNCONDITIONAL LONG-TERM FORECASTING: THE BVAR MODEL
THE BVAR MODEL WITH HOUSING STARTS
THE MODEL WITHOUT OIL PRICE SHOCK
THE MODEL WITH OIL PRICE SHOCK
SUMMARY
CHAPTER 13: The Risks of Model-Based Forecasting: Modeling, Assessing, and Remodeling
RISKS TO SHORT-TERM FORECASTING: THERE IS NO MAGIC BULLET
RISKS OF LONG-TERM FORECASTING: BLACK SWAN VERSUS A GROUP OF BLACK SWANS
MODEL-BASED FORECASTING AND THE GREAT RECESSION/FINANCIAL CRISIS: WORST-CASE SCENARIO VERSUS PANIC
SUMMARY
CHAPTER 14: Putting the Analysis to Work in the Twenty-First-Century Economy
BENCHMARKING ECONOMIC GROWTH
INDUSTRIAL PRODUCTION: ANOTHER CASE OF STATIONARY BEHAVIOR
EMPLOYMENT: JOBS IN THE TWENTY-FIRST CENTURY
INFLATION
INTEREST RATES
IMBALANCES BETWEEN BOND YIELDS AND EQUITY EARNINGS
A NOTE OF CAUTION ON PATTERNS OF INTEREST RATES
BUSINESS CREDIT: PATTERNS REMINISCENT OF CYCLICAL RECOVERY
PROFITS
FINANCIAL MARKET VOLATILITY: ASSESSING RISK
DOLLAR
ECONOMIC POLICY: IMPACT OF FISCAL POLICY AND THE EVOLUTION OF THE U.S. ECONOMY
THE LONG-TERM DEFICIT BIAS AND ITS ECONOMIC IMPLICATIONS
SUMMARY
APPENDIX: Useful References for SAS Users
About the Author
Index
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