Mid Term Review Eco 5375 Business and Economic Forecasting Fall 2010 Our upcoming mid term exam is on Wednesday October 6 2010 at regular class time 6 30 PM It will be 1 hour and 30 minutes in length It is a closed notes test and thus you are not to have any notes in any form open during the test Also you must check your phones and calculators with the exam proctor If you need to do any calculations during the exam we will provide you with a 4function calculator for your use I recommend that you review your notes your quick quizzes and your exercises The Keys for the quick quizzes and exercises are posted on the course website This test will cover Parts I V B in your course outline ending with non seasonal Box Jenkins models Of course the major topics are Time Series Decomposition SSP Model Smoothing Models Deterministic Trend Deterministic Seasonal Model Testing for Seasonality Friedman non parametric test Buys Ballot Plots The Box Jenkins Model and Identification methodology The infamous P Q box You should read the following important pdf and or SAS files that are contained either in the notes section of the course website or in a relevant subdirectory of the course website Review my PowerPoint Introduction to this course Overview ppt Review Some Applications of Forecasting pdf Time series models 1 pdf Some Definitions pdf Forecasting Experiments pdf Graphs for out of sample forecasting experiments pdf SAS Lecture pg 1 pdf and SAS Lecture pg 2 pdf Decomposition sas for understanding the basic additive decomposition of time series The results of this program appear in Overview ppt Stable Seasonal Pattern model See Stable Seasonal Pattern Model v2 pdf Exponential Smoothing Models See Smoothing Models v6 pdf Deterministic Trend Deterministic Model See Det Time Trend Model v2 pdf 1 Deterministic Trend sas This outputs a typical deterministic trend data set Notice its mean reversion to trend It turns through the trend many times Plano Test Seasonality sas understand output and comments therein Comprehensive test for seasonality and ranking degree of seasonality in the various months of the year Buys Ballot plots See the files Buys Ballot Plots pdf and the SAS programs Plano Plot Jacob Williamson sas and Airline Jacob Williamson sas in the Season subdirectory Plano Forecast sas understand output and comments therein Review the file The Stark Difference Between the Prediction Intervals pdf The difference between the Prediction Intervals of Deterministic Trend and Stochastic Trend models BJ Notation pdf The beginning of the Box Jenkins Model discussion In the ACF PACF subdirectory in the course website Study ACF PACF Table pdf and the various graphs of the ACFs and PACFs of the non seasonal Box Jenkins models You should be able to identify various Box Jenkins models simply from these graphs Three Important Concepts pdf Stationarity White Noise and Different Forms of Non stationarity Stats pdf PQ Box Tests for White Noise Residuals and Overfitting EX7 sas understand output Your version of EX8 sas as you have modified EX7 sas understand output Forecast Profiles pdf the idea of minimum mean squared error forecasts and the role that the conditional mean plays in generating the formulas for such forecasts in the Box Jenkins model You are certainly welcome to go the sub directory Key to Mid terms on the classroom website and look at some of the previous mid term exams in this course You will notice that most of the tests are multiple choice fill in the blank or short answer questions Also note that many of the questions involve the interpretation of SAS output produced by using Procs REG AUTOREG or ARIMA However you should know that some of the topics on these previous mid term exams may not have been covered yet in class as my timing of the presentation of the topics is not always the same from year to year Therefore you should not spend a lot of time studying old questions whose topics have not yet been covered in class Stick with the contents of this Review Sheet and you should be fine 2