Abstract
Amongst the techniques discussed are (a) for univariate series, generalisations of Box-Jenkins auto-regressive-moving average models include-ing intervention analysis, non-linear models, and models with time varying parameters; (b) for single output, multiple input situations, causality testing, and diagnostic testing of alternative specifications using Lagrange multiplier tests; and (c) for multivariate cases, vector autoregressive models, order-selection criteria, Bayesian priors, and factor models. Co-integration and error-correction models are also introduced.
Some of these techniques are illustrated using a forecast comparison exercise concerning forecasts of monthly electricity demand per customer.
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Granger, C.W.J., Engle, R.F. (1987). Econometric Forecasting: A Brief Survey of Current and Future Techniques. In: Land, K.C., Schneider, S.H. (eds) Forecasting in the Social and Natural Sciences. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4011-6_6
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DOI: https://doi.org/10.1007/978-94-009-4011-6_6
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