forecast

1. Long-horizon predictive regression

Hey guys! So for an assignment I have to compute some long-horizon predictive regressions. Univariate, bivariate and multiple. We use MatLab, but my MatLab skills are very very basic and I need your help, because i can't find the right answer. I collected all my monthly data (From 1963:07 to...
2. Residual Modelling and Generating Scenarios for variables

newbie here with a trivial question. i am trying to create scenarios on a set of macro variables. i started with creating a bayesian VAR model on insample data and created some forecasts. then took the residuals from the model and used copula to find the joint distribution from the marginal...
3. Forecasting times eries with different daily length

Hey everybody! I’ve been tasked by my company to forecast the amount of phone calls on an hourly basis during the company’s opening hours. That all went pretty well - until I realized, that my company’s opening hours for phone calls is 9am to 3pm (6 hours total) on Mondays and 9am to...
4. Forecast Analysis Inquiry

Im trying to perform some time series analysis on 2015 and 2016 monthly recorded data to see what method is best for forecasting 2016 monthly values for the remainder of the year. The data has an annual cycle and I already have values for the first 9 months out of 2016. Using Winter's method, I...
5. Help with multiple dummy variable regression.

I am attempting to forecast claim denials, whether it will ultimately be adjusted off or not. I am running all the data through excel. The information I have is what the denial was, which insurance denied, how much the initial charge was, and how much the adjustment was for. The problem I am...
6. Calculating forecast error for a long-term volatility forecast

Hi, I am trying to calculate the forecast standard error for a long-term volatility forecast of a time series. I am simply using the unbiased estimator of the historical volatility of the time series as my forecast. The historical time series is monthly frequency with approximately 360 data...
7. Multiple Linear Regression

Hello, Im trying to forecast an economic predictor and our professor hasn't been very clear as to what to do for this project. I know I am supposed to use multiple linear regression y = b0+b1x1+b2x2+... to my understanding, I have found b through holding my variables constant and...
8. VECM interpretation - Johansen-Procedure

X1 , X2 , X3 and X4 are time series which are stationary at level.I want to establish long term relation between them.I am planning to use it as forecasting model for my work.I want to create this model in terms of equation.I have tested all of them for KPSS test and got p=0.01 for all of...
9. Combine decomposed forecast with a Holt-winter forecast

I just want to know, can i combine a decomposed forecast with any other non-decomposed forecast like holt-winter and is there any reference to someone who did something like this before? I don't see a problem with it, but i would like an opinion from someone else. The new combined...
10. Regression analysis: selecting TREND or FORECAST formula

Hello, I am doing a regression analysis on average price increases from a PPI table, and my goal is to project a 2013 value using the average yearly value from 1985 - 2012. Excel gives me two formulas to do this -- TREND and FORECAST -- and both formulas appear to perform a regression...
11. Time Series Code; Help

Hi Folks, I'm trying to fit a time series curve which I need to apply for different data. I used Proc Forecast to get the estimates. I need to translate the estimates into a predictive score. Can anyone help me on the code to program Forecast value from the estimates. Thanks. Ex: Proc...
12. Forecasting MTBUR based on past performance

Hi there! I came across a scenario recently that I think the logistics team I am interning with is approaching the problem incorrectly, but I am not sure; I was wondering if you could check it out for me. The Mean Time Between Unscheduled Removals (MTBUR) of a certain part is say 5,000...
13. Idea (probably not new) about a metric for comparing forecast errors across settings

Hi there, I had written a large post, but was kicked off upon submitting, so I will keep this post to minimum... What are your views of the following metric for comparing the forecasts of different forecasters working in very different settings: |actual - forecast| / standard deviation...
14. Simple Question. Prediction intervals in R.

Hi, I'm using R and I've fitted a seasonal Arima model to a time series. I wish to compute a prediction for the next 12 values of the time series with 95% confidence interval. Can someone advise me what command to use? Also could someone point me to where I might find out the answers to similar...