数量经济学课件-时间序列分析.pptVIP

Time-Series Components时间序列的组成 Time-Series Cyclical Random Trend Seasonal Trend Component趋势项 Overall Upward or Downward Movement Data Taken Over a Period of Years Sales Time Upward trend Cyclical Component周期项 Upward or Downward Swings May Vary in Length Usually Lasts 2 - 10 Years Sales Time Cycle Seasonal Component季节项 Upward or Downward Swings Regular Patterns Observed Within 1 Year Sales Time (Monthly or Quarterly) Winter Random or Irregular Component随机项 Erratic, Nonsystematic, Random, 慠esidual?Fluctuations Due to Random Variations of Nature Accidents Short Duration and Non-repeating Multiplicative Time-Series Model相乘时间序列模型 Used Primarily for Forecasting Observed Value in Time Series is the product of Components For Annual Data: For Quarterly or Monthly Data: Ti = Trend Ci = Cyclical Ii = Irregular Si = Seasonal Moving Averages移动平均 Used for Smoothing Series of Arithmetic Means Over Time Result Dependent Upon Choice of L, Length of Period for Computing Means For Annual Time-Series, L Should be Odd Example: 3-year Moving Average First Average: Second Average: Moving Average Example Year Units Moving Ave 1994 2 NA 1995 5 3 1996 2 3 1997 2 3.67 1998 7 5 1999 6 NA John is a building contractor with a record of a total of 24 single family homes constructed over a 6 year period. Provide John with a Moving Average Graph. Moving Average Example Solution Year Response Moving Ave 1994 2 NA 1995 5 3 1996 2 3 1997 2 3.67 1998 7 5 1999 6 NA 94 95 96 97 98 99 8 6 4 2 0 Sales Exponential Smoothing指数平滑 Weighted Moving Average Weights Decline Exponentially Most Recent Observation Weighted Most Used for Smoothing and Short Term Forecasting Weights Are: Subjectively Chosen Ranges from 0 to 1 Close to 0 fo