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Elements of 1

X H O I V I S O I SI * — S O U T H - W E S T E RN Elements of Forecasting, Fourth Edition Francis X. Diebold Content Project Manager: ElyciaArendt Art Director: Michelle Kunkler Manager of Technology, Editorial: John Barans Cover Designer: Craig Ramsdell, Ramsdell Design Technology Project Manager: Dana Cowden Cover Image: © Getty Images, Inc. Sr. Manufacturing Coordinator: Sandee Milewski Printer: Thomson/West Production House: Interactive Composition Corporation VP/Editorial Director: Jack W. Calhoun VP/Editor-in-Chief: Alex von Rosenberg Sr. Acquisitions Editor: Mike Worls Developmental Editor: Leslie Kauffman, LEAP Marketing Manager: Jenny Garamy Editorial Assistant: Jessica Hartman COPYRIGHT © 2007, 2004 Thomson South-Western, a part of The Thomson Corporation. Thomson, the Star logo, and South-Western are trademarks used herein under license. Printed in the United States of America 3 4 5 09 08 07 ISBN-13: 978-0-324-32359-7 (package) ISBN-10: 0-324-32359-X (package) ISBN-13: 978-0-324-35904-6 (book only) ISBN-10: 0-324-35904-7 (book only) ALL RIGHTS RESERVED. No part of this work covered by the copyright hereon may be reproduced or used in any form or by any means— graphic, electronic, or mechanical, including photocopying, recording, taping, Web distribution or information storage and retrieval systems, or in any other manner—without the written permission of the publisher. For permission to use material from this text or product, submit a request online at http://www.thomsonrights.com. Library of Congress Control Number: 2006909336 For more information about our products, contact us at: Thomson Learning Academic Resource Center 1-800-423-0563 Thomson Higher Education 5191 Natorp Boulevard Mason, OH 45040 USA THE LIBRARY UNIVERSITY OF GUELWf

To Lawrence Klein, Marc Nerlove, and Peter Pauly, who taught me forecasting.

Most good texts arise from the desire to leave one's stamp on a discipline by training future generations of students, coupled with the recognition that ex isting texts are inadequate in various respects. My motivation is no different. There is a real need for a concise and modern introductory forecasting text. A number of features distinguish this book. First, although it uses only ele mentary mathematics, it conveys a strong feel for the important advances made since the work of Box and Jenkins more than 30 years ago. In addition to standard models of trend, seasonality, and cycles, it touches—sometimes extensively—upon topics such as data mining and in-sample overfitting statistical graphics and exploratory data analysis • • • model selection criteria • • • • • recursive techniques for diagnosing structural change nonlinear models, including neural networks regime-switching models unit roots and stochastic trends smoothing techniques in their relation to stochastic-trend unobserved- components models vector autoregressions cointegration and error correction predictive causality forecast evaluation and combination simulation and simulation-based methods volatility measurement, modeling, and forecasting • • • • • •

Preface v Much of that material appears in the "Exercises, Problems, and Comple ments" following each chapter, which form an integral part of the book. The Exercises, Problems, and Complements are organized so that instruc tors and students can pick and choose according to their backgrounds and interests. Second, the book does not attempt to be exhaustive in coverage. In fact, techniques the coverage is intentionally selective, focusing on the core with the widest applicability. The book is designed so that it can be covered re alistically in a one-semester course. Core material appears in the main text, and additional material that expands on the depth and breadth of coverage is provided in the Exercises, Problems, and Complements, as well as the Biblio graphical and Computational Notes, at the end of each chapter. Third, the book is applications-oriented. It illustrates all methods with de tailed real-world applications designed to mimic typical forecasting situations. In many chapters, the application is the centerpiece of the presentation. In various places, the book uses applications not simply to illustrate the methods but also to drive home an important lesson, the limitations of forecasting, by presenting truly realistic examples in which not everything works perfectly! Fourth, the book is in touch with modern modeling and forecasting software. It uses Eviews, which is a good modern computing environment for forecasting, throughout. At the same time, I am not a software salesman, so the discussion is not wed to any particular software. Students and instructors can use whatever computing environment they like best. The book has found wide use among students in a variety of fields, includ ing business, finance, economics, public policy, statistics, and even engineer ing. The book is directly accessible at the undergraduate and master's levels; the only prerequisite is an introductory statistics course that includes linear re gression. To help refresh students' memories, Chapter 2 reviews linear regres sion from a forecasting perspective. The book is also of interest to those with more advanced preparation, because of the hard-to-find direct focus on fore casting (as opposed, for example, to general statistics, econometrics, or time series analysis). I have used it successfully for many years as the primary text in my undergraduate forecasting course, as a background text for various other undergraduate and graduate courses, and as the primary text for master's- level Executive Education courses given to professionals in business, finance, economics, and government. SUPPLEMENTS Data Sets and Eviews Programs Selected data and Eviews programs, as used both in the text chapters and in the Exercises, Problems, and Complements at the end of each chapter, are available on the text Web site at www.thomsonedu.com/economics/diebold.

VI Preface Text Web Site The text Web site at www.thomsonedu.com/economics/diebold provides teaching resources, including the solutions manual for instructors; learning resources, including data sets and Eviews programs; and many more features. Solutions Manual Prepared by Francis Diebold, University of Pennsylvania, the solutions manual contains remarks, suggestions, hints, and solutions for many of the end-of- chapter exercises, problems, and complements. It is available on the text Web site and may be downloaded for use by adopting instructors. Eviews Software Upon the instructor's request, Eviews Student Version can be bundled with the text. With Eviews, students can do homework anywhere they have access to a PC. For more information on this special Eviews offer, contact your Thomson South-Western representative or call the Academic Resource Center at 1-800-423-0563. Economic Applications Economic Applications includes South-Western's dynamic Web features: EconNews, EconDebate, and EconData Online. Organized by pertinent eco nomic topics and searchable by topic or feature, these features are easy to integrate into the classroom. EconNews, EconDebate, and EconData all deepen students' understanding of theoretical concepts through hands-on ex ploration and analysis for the latest economic news stories, policy debates, and data. These features are updated on a regular basis. For more information, visit www. thomsonedu.com. InfoTrac With InfoTrac College Edition, students can receive anytime, anywhere online access to a database of full-text articles from thousands of popular and schol arly periodicals, such as Newsweek, Fortune, and Nation's Business, among others. InfoTrac is a great wav to expose students to online research techniques, with the security that the content is academically based and reliable. For more in formation, visit w\w\.thomsonedu.com. You can start using many of these resources right away by following the di rections on the access card that came with the purchase of a new book. Get started todav at wsw.thomsonedu.com!

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