Forecast based on mononomial trend基于mononomial趋势预测.pptVIP

Forecast based on mononomial trend Basic information We can use this method when we’re analyzing time series that are characterized by tendency, seasonal fluctuation terms and random fluctuations. It can be also used to create short-term econometric forecasts. This method, speaking briefly, consist in estimating structural parameters of trend models for respective cycle phases distinctly. E.g. if time series, that is being analyzed, consists of monthly quotation of a variable – then we can consider occurring of monthly seasonality within confines of the year cycle. Basic information In this case we can try to estimate structural parameters of trend models for respective months in cycle phases – i.e. model for January, based on empirical observations of the variable from this month in successive cycles, model for February, March, April etc. – till December. We would obtain 12 mononomial trend models. Mononomial phase is a phase which in successive cycles “is named the same”. Basic information The essential disadvantage of this method is the necessity of accepting the status quo rule, which consist in making presumption that expansion tendency observed in respective phases (mononomial terms) of successive cycles will be kept also in future. Basic information Each of trend models that are created for mononomial terms successive cycles can be described using following equation of expansion tendency: Basic information In order to make a forecast of being analyzed variable we need to determine which phase of the cycle is the forecasted period, e.g. if mononomial trend models are created for quarter of successive years based on data inclusive 4 cycles, then forecast for 18th quarter will be a forecast for second quarter of the successive year. Basic information So we will need to use trend model for second quarters. Whereas for T – the forecasted period we need to put number of the successive cycle (in our case it is 5th cycle), s