www.wunan.com.

tw
(02)2705-5066

 www.wunan.com.tw
(02)2705-5066

managing production
operationssessions

practitioners

effectiveness

Brockwell Davis 1991Bowerman OConnell

1993 Excell
QM

Ostrom 1978 McDowall

McClearyMeidinger HayJr 1980

SPSS12 SPSS18

www.wunan.com.tw
(02)2705-5066

decomposition

ARIMA

ARIMA
moving averageexponential smoothing
trend projections

II

www.wunan.com.tw
(02)2705-5066

SPSS

SPSS

ARIMA Box-Jenkins
models ARIMA
IdenticationEstimationDiagnosis

ARIMA

SPSS MATLAB

102 8

www.wunan.com.tw
(02)2705-5066

III

Contents
.............................................................................................................................i

Chapter
01

................................................................................... 2
................................................... 4
................................................................... 4
................................................................... 5
ARIMA ............................................. 7
................................................................. 9
............................................................................. 11
............................................................................................. 13
..................................................................................................... 13
................................................................................. 13
..................................................................................................... 13
................................................................................. 13
............................................................................................ 14
......................................................... 14
................................................................................. 14
......................................................................................... 16
......................................................................... 18


www.wunan.com.tw
(02)2705-5066

..................................................................................................... 25

Chapter
02

27

..................................................................................................... 28
......................................................................................... 29
..................................................................................... 30
............................................................................................. 31
......................................................................................... 32
................................................................................. 34
............................................................................................. 34
............................................................................................. 36
............................................................................................. 37
......................................................................................... 37
................................................................................. 40
Error .................................................................................... 42
Mean Error, ME .......................................................... 42
Mean Absolute Deviation, MAD ........................ 43
Mean Square Error, MSE ................................................ 43
Mean Percentage ErrorMPE ....................... 43
Mean Absolute Percentage Error, MAPE 44
................................................................................. 45
............................................................................................. 45
..................................................................................... 57
VI

www.wunan.com.tw
(02)2705-5066

Contents
............................................................................................. 58
......................................................... 69
......................................................................................... 73
......................................................... 74
................................................................................. 75
............................................................. 80
......................................................................................... 84
................................................................................. 85
...................................................101
.......................................................................................102
.......................................................................................119
.......................................................................................123
.......................................................................127
...........................................................................128
...........................................................138
...................................................................................................140

Chapter
03

143

...................................................................................................144
...................................................146
.......................................................................152
...........................................................................................153
.......................................................................................155
VII

www.wunan.com.tw
(02)2705-5066

...................................................................159
R ....................................164
...................................................................168
.......................................................................................168
...................................................................................169
...............................................................172
...................................................................174
b .................................................................175
...........................................................................176
...............................................177
...............................................................................179
...........................................................................179
SPSS..................180
...............................................187
.......................................................................188
...............................................................................................190
...........................................................................195
...........................................................................197
...........................................................202
...................................................................208
.......................................................213
GLS ...........................................................................216
...................................................................................218
...............................................................................219
.......................................................220
...................................................222
VIII

www.wunan.com.tw
(02)2705-5066

Contents
...............................................................................222
...............................................................................224
...........................................229
...................................................................................................231
GLS ...........................................................................231
IVGLS ...............................................................................233
...............................................................234
...................................................................................................235
...........................................................................................237
forecast generaion .................................................240
...........................................................................241
.......................................................................................243
.......................................................251
...............................................................................252
.......................................................................................258
...................................................................................................259
...............................................260
...............................................................................260
...............................................................................269
.......................................................................280
.......................................................................................283
...........................................................286
...............................................................287
...............................................................................292
...............................................................................................295

IX

www.wunan.com.tw
(02)2705-5066

Chapter
04

299

...................................................................................................300
...............................................................................301
...................................................................303
.......304
...............................................................306
...............................................................................306
...........................................................................................306
...................................................................................307
...................................................................................................308
Durbin-Watson ......................................................310
...........................................................................................310
Durbin-Watson ..........................................................................312
...........................................................................................314
...................................................................................................318
.......................................................................319
...............................................................................319
.......................................................................328
Cochrane-Orcutt ....................................................................330
Hildreth-Lu ...........................................................................342
...........................................................................344
...............................................................................349
.......................................................350


www.wunan.com.tw
(02)2705-5066

Contents
...................................................................................................352
...................................................................................................354
...............................................................................355
...........................................................................................366
...................................................................................................374

Chapter
05

ARIMA
375

...................................................................................................376
...............................376

statistical properties ..........................................................377

...........................................................................377
...........................................................379
Nt ...........................................................................385
ARIMA 0,0,0ARIMA 0,d,0 ..................387
...................................................................................393
...................................................................................398
...............................................................................402
partial ....................................................408
...................................................413
.......................................................................................414
.......................................................................................444
XI

www.wunan.com.tw
(02)2705-5066

It.....................................................................................478
...................................................481
...............................................................490
...............................................................496
...............................................................................499
5-6SPSS ................501
...................................................................................................520

Chapter
06

SPSS18
523

...................................................................................................524
...............................................................................525
predictor ................................................525
.......................................................................532
...................................................................535
The Durbin-Watson ..............................................................542
Differences ........................................................................543
SPSS..............................................551
...................................................................................................616
.......................................................................................616
KOYCK MODEL .............................................................................624
SPSS..............................................627
..........................................................................................664
XII

www.wunan.com.tw
(02)2705-5066

Contents
AR(1) ........................................................................................666
AR(2) .......................................................................................673
SPSS..............................................682
...........................................................................................711
...............................................................................711
...............................................................................715
...................................................................................719
SPSS..............................................721
...................................................................................................740

Chapter
07

743
SPSS13

...................................................................................744
.......................................................................744
.......................................745
...................................................746
...................................................................................747
...............................................................750
...........................................................751
Holt ...............................................759
...................................................................................763

...................................................................................770
XIII

www.wunan.com.tw
(02)2705-5066

...........................................................775
...............................................................................................779
...........................................................................................779
...................................................................................................780
...........................781
ordinary .............................783
.......................................................................787
...................................................................789
.......................................................793
...................................................................................................795
ARIMA .............................................................................................795
ARIMA .....................................................................796
ARIMA .............................................................................797
ARIMA .....................................................................798
...........................................................................................798
ARIMA .........................................................................799
.......................................................................................801
.......................................................821
...................................................................................................838
.......................................................................................839
...................................................................................................839
...................................................................839
...............................................................841
.......................................................................847
...................................................................................................849
...................................................................................850
XIV

www.wunan.com.tw
(02)2705-5066

Contents
...............................850
...........................................................................................851
...................................................................................................854
...................................................................................................854

Chapter
0

SPSS18

855

...................................................................................................856
.......................................................857
...............................................................857
............................................857
...................................................................................857
...........................................................................................860
...................................................................................867
.......................................................................................868
...................................................................................................870
...................................871
...........................................................................................871
Model Fit Statistics .......................................874
Model Predictions .................................................876
...................................................................................................877
...................877
.......................................................................878
XV

www.wunan.com.tw
(02)2705-5066

Running the Analysis ................................................880

Series Plot .................................................................886
Model Description Table .......................................886
Model Statistics Table .......................................887
ARIMA ........................................................................888
...................................................................................................888
...............................................888
.......................................................................889
...................................................894
...........................................................................................897
ARIMA .........................................901
...................................................................................904
...................................................................................904
...............................................................................908
...............................................................................912
...........................................................................................915
..........................................................................................918
.......................................................................................922
...................................................................................................923
.......................................................................................925
...................................................................................................925
...................................................................926
...............................................................926
...........................................................................................932
...............................................................................933
...................................................................................................935
XVI

www.wunan.com.tw
(02)2705-5066

Contents
...................................................................................936
...............................936
...........................................................................................937
.......................................................939
...................................................................................................941
...................................................................................................941

Appendix

943

Durbin-Watson ..............................................................................................944
...........................................................................................................946

XVII

www.wunan.com.tw
(02)2705-5066

p
Cha

r
e
t

01

www.wunan.com.tw
(02)2705-5066

government

u n i f o r m t i m e
length
time seriescomponent
decompose

secular trendseasonal variationcyclical movement

irregular uctuation

causal relationship

extrapolationduplicating

t i m e d o m a i n

www.wunan.com.tw
(02)2705-5066

Chapter

01

approachfrequency domain approach

stochastic process
harmonic decomposition
amplitudespectrum
analysis

trogh
peak

the daily closing

price
the Consumer Price Indexgross domestic product
GDPtotal sales
revenues

forecasting
these projections

marketing
executivessales revenues
consumer preferencesinventory

www.wunan.com.tw
(02)2705-5066

government

predicting events

operations
management

inertia

ARIMA

causal

the projection

www.wunan.com.tw
(02)2705-5066

Chapter

01

a function

decomposition

the cyclical componentthe irregular component

length 2 10
intensity or amplitude

the irregular or random

component
an additional component

change
Herbert
B. Asher, 976

(1)
cross-sectional
(2)

www.wunan.com.tw
(02)2705-5066

time arrow

the order

1952 1953
195419551956 1955195219541956
(1) properties

see, Wonnacott and Wonnacott, 1970

(2) Charles W. OstromJr.1978, p.8

Charles W. OstromJr.

Lewis
Richardson see, Richardson, 1960b

www.wunan.com.tw
(02)2705-5066

Chapter

01

nuavailable
states and municipalitiescensus
recordsfree slaves
Fogel and Engerman, 1974

census tracts

see Glenn, 1977

level

Ostrom

Ostrom

ARIMA
ARIMA Box Jenkins1976
ARIMA Box Jenkins
ARIMA Box Jenkins1976

ARIMA Box Tiao1965 1976

Glass et al., 1975
Glass et al.,
Bower et al., 1974

www.wunan.com.tw
(02)2705-5066

Glass et al.,

quasi-experimental

ARIMA the general class of ARIMAARIMA

elementsa straightforward manner
the arithmetic ARIMA components
ARIMA

ARIMA

Chicagos Hyde Park neighborhood on purse

snatchings
ARIMA

ARIMA
ARIMA

effect
permanent
permanent
SPSS

lawschanges
changes

www.wunan.com.tw
(02)2705-5066

Chapter

01

settings
other disciplines

Ostrom
Ostrom, 1978McDowallMcClearyMeidingerand Hay
McDowall, McCleary, Meidinger, and Hay, 1980
Bowerman and O'Connell Bowerman and O'Connell,
1993
MontgomeyJenningsand Kulahci
Montgomey, Jennings, and Kulahci, 2008
ARIMA
ARIMA
moving
averageexponential smoothingtrend projections

autocorrelation

serial correlation
Tintner

1952

www.wunan.com.tw
(02)2705-5066

10

in boldface

Yt = Tt X Ct X St X It

MSE

MADMAD

www.wunan.com.tw
(02)2705-5066

Chapter

01

government
predicting
events

operations management

inertia

chronological sequence 1-1

2001 2006
constant maturitygrapha time series plot
CH1-1

any reporting
intervalinstantaneous
viscosity
the
activity 2004
CH1-2

www.wunan.com.tw
(02)2705-5066

11


12

6.00

5.80

5.40

5.60

5.20

5.00

4.80

MAY 2006
MAR 2006
JAN 2006
NOV 2005
SEP 2005
JUL 2005
MAY 2005
MAR 2005
JAN 2005
NOV 2004
SEP 2004
JUL 2004
MAY 2004
MAR 2004
JAN 2004
NOV 2003
SEP 2003
JUL 2003
MAY 2003
MAR 2003
JAN 2003
NOV 2002
SEP 2002
JUL 2002
MAY 2002
MAR 2002
JAN 2002
NOV 2001
SEP 2001
JUL 2001
Date

1-1

Open
Close
2,200

2,100

2,000

1,900

1,800

1,700

05-JAN-2004
20-JAN-2004
03-FEB-2004
18-FEB-2004
03-MAR-2004
17-MAR-2004
31-MAR-2004
15-APR-2004
29-APR-2004
13-MAY-2004
27-MAY-2004
14-JUN-2004
28-JUN-2004
13-JUL-2004
27-JUL-2004
10-AUG-2004
24-AUG-2004
08-SEP-2004
22-SEP-2004
06-OCT-2004
20-OCT-2004
03-NOV-2004
17-NOV-2004
02-DEC-2004
16-DEC-2004
31-DEC-2004

Date

1-

www.wunan.com.tw
(02)2705-5066

Chapter

01

options
the
volatility
nancial derivatives

gross domestic product

feedfoward

www.wunan.com.tw
(02)2705-5066

13

14

expectations
the form
the
forecast interval

www.wunan.com.tw
(02)2705-5066

Chapter

01

predictor variables

outliers

www.wunan.com.tw
(02)2705-5066

15

16

professional journals

www.wunan.com.tw
(02)2705-5066

Chapter

01

Journal of Forecasting
International Journal of Forecasting
Journal of Business Forecasting
Methods and Systems

Journal of Business and Economic Statistics

Management Science
Naval Research Logistics
Operations Research
International Journal of Production Research
Journal of Applied Statistics

Box, Jenkinsand
Reinsel1994Chateld1996Fuller1995Abraham and Ledolter1983
MontgomeryJohnsonand Gardiner1990Wei2006and Brockwell and Davis
19912002

MinitabJMP
SAS SPSS13
SPSS18 Matlab

www.wunan.com.tw
(02)2705-5066

17

18

mean error, ME Mean

Absolute Deviation, MADMean Square Error, MSE
Mean Percentage Error, MPEMean Absolute Percentage
Error, MAPE

SPSS Transform Compute Variable... Create Time
Series...

www.wunan.com.tw
(02)2705-5066

Chapter

01

1.00 4.00
1.00

SPSS

Nelson 197319mechanism
through time and second

postulate

ramifications

www.wunan.com.tw
(02)2705-5066

19

20

R
MATLAB

t SPSS

(1)
(2)
OLS
Generalized Least Squares, GLS GLS IV
GLS

non-sample situations
Klein, 1971: 10forecast
prediction
Klein, 1971: 10

a single

www.wunan.com.tw
(02)2705-5066

. .
, 2013.10

ISBN 978-957-11-7147-0 ()
1.
319.53

102010253

1H79

106 3 3 9 4
(02)2705-5066(02)2706-6100
http://www.wunan.com.tw
wunanwunan.com.tw
0 1 0 6 8 9 5 3

/6
(04)2223-0891(04)2223-3549
/290
(07)2358-702 (07)2350-236

2 0 1 3 1 0
1 0 0 0

www.wunan.com.tw
(02)2705-5066