管理经济学--生意和经济的预测(1).pptVIP

Business and Economic ForecastingChapter 5 Time-Series Characteristics: Secular Trend and Cyclical Variation in Women’s Clothing Sales Time-Series Characteristics: Seasonal Pattern and Random Fluctuations Microsoft Corp. Sales Revenue, 1984–2001 White Noise and MA(1) Time Series A MA(1) Process A moving average process of order one [MA(1)] can be characterized as one where xt = et + a1et-1, t = 1, 2, … with et being an iid sequence with mean 0 and variance This is a stationary, weakly dependent sequence as variables 1 period apart are correlated, but 2 periods apart they are not Three Stationary AR(1) Time Series An AR(1) Process An autoregressive process of order one [AR(1)] can be characterized as one where yt =ρyt-1 + et , t = 1, 2,… with et being an iid sequence with mean 0 and varianceσ2 For this process to be weakly dependent, it must be the case that |ρ| 1 Corr(yt ,yt+h) = Cov(yt ,yt+h)/(σy σy) = ρ1h which becomes small as h increases Three Stationary AR(1) Time Series Stationary Stochastic Process A stochastic process is stationary if for every collection of time indices 1 ≤ t1 … tm the joint distribution of (xt1, …, xtm) is the same as that of (xt1+h, … xtm+h) for h ≥ 1 Thus, stationarity implies that the xt’s are identically distributed and that the nature of any correlation between adjacent terms is the same across all periods Covariance Stationary Process A stochastic process is covariance stationary if E(xt) is constant, Var(xt) is constant and for any t, h ≥ 1, Cov(xt, xt+h) depends only on h and not on t Thus, this weaker form of stationarity requires only that the mean and variance are constant across time, and the covariance just depends on the distance across time Three Non-Stationary AR(1) Time Series A Random Walk and A Random Walk With Drift Random Walks A random walk is an AR(1) model where ρ1 = 1, meaning the series is not weakly dependent With a random walk, the expected value of yt is always y0 – it doesn’t depend on t Va