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Forecasting

Forecasting. Oxana Chorna. Objective of the course. The main objective of the course is to present modern forecasting techniques and applications. Focus will be on applications and projects. Short course contents. 1. Basic forecasting tools.

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Forecasting

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  1. Forecasting Oxana Chorna

  2. Objective of the course • The main objective of the course is to present modern forecasting techniques and applications. Focus will be on applications and projects.

  3. Short course contents 1. Basic forecasting tools. Data analysis with the use of computer packages. Independent data and time series. Plotting the time series. Using ITSM. Autocorrelation function. Confidence intervals for the forecasts. 2. Time series models. Additive and multiplicative decomposition. Seasonality. Smoothing of the data. Exponential smoothing. Stationary data. Using exponential smoothing for stationary and nonstationary data.

  4. 3. Pegel’s classification for time series. Choice of the optimal model for forecasting. A simple forecast. Holt’s and Holt-Winter’s method in forecasting. Practical calculation of forecast with the use of Excel macro and ITSM. 4. Forecasts in regression model. Simple and multiple regression and its forecasting ability. Confidence intervals for the forecasts.

  5. 5. ARMA and ARIMA models. Plotting and analyzing the autocorrelation and partial autocorrelation function. Estimating the structural parameters and identification problems. Calculating the forecasts within the framework of ARIMA models. Seasonality. 6. Simulations. Simulating data from known distributions. Simulating time series from the known models. Calculating forecasts with the help of simulated data. Using Ithink.

  6. Books 1. Makridakis, Wheelwright, Hyndman, Forecasting – methods and applications 2. John D. Sterman Business Dynamics: Systems Thinking and Modeling for a Complex World (with CD-ROM) ISBN: 0-07-238915X Year: 2000 Publisher: Irwin/McGraw-Hill 3. Matthias Ruth, Bruce Hannon, Jay W. Forrester Modeling Dynamic Economic System (Modeling Dynamic Systems) ISBN: 0-387-94849-X Year: 1997 Publisher: Springer-Verlag New York, Inc. 4. Hannon, Bruce M., Bernard McGarvey Dynamic Modeling for Business Management: an Introduction ISBN: 0-387-40461-9 Year: 2004 Publisher: Springer-Verlag New York, Inc.

  7. Programs • Excel • ITSM • Statistics • Gretel • Ithink

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