This document contains a question bank for a forecasting methods course updated in March 2021. It includes questions related to forecasting techniques, the forecasting process, accuracy measures like Theil's U statistic, time series analysis, decomposition methods, and exercises applying various forecasting methods. Questions range from conceptual questions to numerical exercises analyzing time series data and comparing forecasting models.
This document contains a question bank for a forecasting methods course updated in March 2021. It includes questions related to forecasting techniques, the forecasting process, accuracy measures like Theil's U statistic, time series analysis, decomposition methods, and exercises applying various forecasting methods. Questions range from conceptual questions to numerical exercises analyzing time series data and comparing forecasting models.
This document contains a question bank for a forecasting methods course updated in March 2021. It includes questions related to forecasting techniques, the forecasting process, accuracy measures like Theil's U statistic, time series analysis, decomposition methods, and exercises applying various forecasting methods. Questions range from conceptual questions to numerical exercises analyzing time series data and comparing forecasting models.
This document contains a question bank for a forecasting methods course updated in March 2021. It includes questions related to forecasting techniques, the forecasting process, accuracy measures like Theil's U statistic, time series analysis, decomposition methods, and exercises applying various forecasting methods. Questions range from conceptual questions to numerical exercises analyzing time series data and comparing forecasting models.
Q1 What is forecasting and Why is a forecast needed? Explain with the help of relevant examples. Q2 Write Short Notes on: a. Systematic Errors b. Variation c. Lead Time d. Autocorrelation e. Examples of Univariate and Bivariate Analysis f. Pooled Data g. Cross-Sectional Data h. Time-Series Data
Q3 What are the different forecasting techniques? Explain in detail.
Q4 What are the basic steps in forecasting process? Q5 What does the Theil’s U statistic demonstrate? Explain. Q6 The following time plots and ACF plots correspond to four different time series. Your task is to match each time plot in the first row with one of the ACF plots in the second row.
Q7 Are the following statements true or false? Explain your answer.
a. A model with small residuals will give good forecasts.
b. The best measure of forecast accuracy is MAPE.
Q8 Use the data given below to answer the questions:
Date Close Price_ ONGC Close Price_ Tata Steel
29-January-2021 88.4 37.7
28-January-2021 90.7 38.9
27-January-2021 89.65 39.4
25-January-2021 91.3 40.8
22-January-2021 92.8 40.95
21-January-2021 94.9 42.4
20-January-2021 98.85 44.05
19-January-2021 98.1 43.75
18-January-2021 96.7 42.35
15-January-2021 101.35 44.45
14-January-2021 105 44.25
13-January-2021 105.2 44.4
12-January-2021 103.45 43.45
11-January-2021 102.55 43.3
8-January-2021 100.65 44.3
7-January-2021 97.9 44.95
6-January-2021 96.95 42.4
5-January-2021 94.95 42.15
4-January-2021 96.95 42.85
1-January-2021 93.2 39.9
a. Calculate the mean, median, MAD, MSD, and standard deviation for each variable. b. Which of these statistics give a measure of the centre of data and which give a measure of the spread of data? c. Calculate the correlation of the two variables and produce a scatterplot of ONGC against Tata steel.
Q9 Column 1 on the following page is the actual demand for product E15 over 20 months. Columns 2 and 3 are the one-month ahead forecasts according to two different forecasting models. (a) Plot the actual demand on a graph along with the forecasts from the two methods. (b) For each method, compute the Mean Error, Mean Absolute Error, Mean Squared Error, Mean Percentage Error, and Mean Absolute Percentage Error using equations (2.13) through (2.18) (Look into Makridakis text book) (c) Repeat Part (b) using columns 1 and 3 below.
Q10 Table below shows data on the performance of 14 trained female distance runners. X 61.32 55.29 52.83 57.94 53.31 51.32 52.18 52.37 57.91 53.93 47.88 47.41 47.17 51.05 Y 39.37 39.80 40.03 41.32 42.03 42.37 43.93 44.90 44.90 45.12 45.60 46.03 47.83 48.55 Table: Running times (Y) and maximal aerobic capacity (X) for 14 female runners (Source: Conley et al. (1981). The variables measured are the running time (minutes) in a 10 kilometer road race and the maximal aerobic power collected during the week following the run. (a) Calculate the mean, median, MAD, MSD, and standard deviation for each variable. (b) Which of these statistics give a measure of the centre of data and which give a measure of the spread of data? (c) Calculate the correlation of the two variables and produce a scatterplot of Y against X. (d) Why is it inappropriate to calculate the autocorrelation of these data?
Q11 Japanese motor vehicle production for 1947-1989 is given in the Table given below:
a. Plot the data in a time plot. What features of the data indicate a transformation may be appropriate? b. Transform the data using logarithms and do another time plot. c. Calculate forecasts for the transformed data for each year from 1948 to 1990 using Naïve Forecast 1. d. Compute the forecast errors and calculate the MSE and MAPE from these errors. e. The world motor vehicle market was greatly affected by the oil crisis in 1973- 1974. How did it affect Japanese motor vehicle production? If this information could be included in the forecasts, how would it affect the indicate a transformation may be appropriate?
Q12 If the data set is as under:
(a) (b) Which data transformation method is appropriate for both of the datasets in figures (a) and (b)?
Unit II Q1 Assume a time series data. Show that a 3×5×5 MA is equivalent to a 7-term weighted moving average with weights of 0.067, 0.133, 0.200, 0.200, 0.200, 0.133, and 0.067.
Q2 The data set consists of the monthly sales (in thousands) of product A for a plastics manufacturer for five years. Year Quarter Period Stock Prices 1 1 1 730 2 2 1120 3 3 1170 4 4 1730 2 1 5 780 2 6 1130 3 7 1350 4 8 1960 3 1 9 790 2 10 1180 3 11 1290 4 12 2020 4 1 13 820 2 14 1350 3 15 1430 4 16 2150 5 ? ? ?
a. Plot the time series of stock prices of company A. Can you identify seasonal fluctuations and/or a trend-cycle? b. Use a classical multiplicative decomposition to calculate the trend- cycle and seasonal indices. c. Do the results support the graphical interpretation from part a? d. Compute and plot the seasonally adjusted data. e. Change one observation to be an outlier (e.g., add 500 to one observation), and recompute the seasonally adjusted data. What is the effect of the outlier? f. Does it make any difference if the outlier is near the end rather than in the middle of the time series? g. Forecast the stock prices for fifth year in four quarters.
Q3 Figures 6.16 and 6.17 show the result of decomposing the number of persons in the civilian labour force in Australia each month from February 1978 to August 1995. Figure 6.16: Decomposition of the number of persons in the civilian labour force in Australia each month from February 1978 to August 1995.
Figure 6.17: Seasonal component from the decomposition shown in the previous figure.
a. Write about 3–5 sentences describing the results of the
decomposition. Pay particular attention to the scales of the graphs in making your interpretation. b. Is the recession of 1991/1992 visible in the estimated components?
a. Use an additive decomposition to calculate the trend-cycle and
seasonal indices. b. Compute and plot the seasonally adjusted data. c. Use a naïve method to produce forecasts of the seasonally adjusted data. d. Compare forecasts from forecasting methods with those from naïve method using a test set comprising the last 2 years of data. Which is better?
Q5 The picture below shows the candle-stick chart of the stock prices of company X. The data uses 12 centered MA smoother shown by the white line in the picture below. Using the smoother, explain the utility of MA smoother. Q6 The following values represent a cubic trend pattern mixed with some randomness. Apply a single 3-period moving average, a single 5-period moving average, a single 7-period moving average, a double 3*3 moving average, and a double 5*5 moving average. Which type of moving average seems most appropriate to you in identifying the cubic pattern of the data?
Q7 What is the Loess and Lowess used for? What is the process of computing Loess? Q8 The Instant Paper Clip Office Supply Company sells and delivers office supplies to companies, schools, and agencies within a 50-mile radius of its warehouse. The office supply business is competitive, and the ability to deliver orders promptly is a big factor in getting new customers and maintaining old ones. (Offices typically order not when they run low on supplies, but when they completely run out. As a result, they need their orders immediately.) The manager of the company wants to be certain that enough drivers and vehicles are available to deliver orders promptly and that they have adequate inventory in stock. Therefore, the manager wants to be able to forecast the demand for deliveries during the next month. From the records of previous orders, management has accumulated the following data for the past 10 months:
Month Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Orders 120 90 100 75 110 50 75 130 110 90
a. Compute the monthly demand forecast for February through November using the naive method. b. Compute the monthly demand forecast for April through November using a 3- month moving average. c. Compute the monthly demand forecast for June through November using a 5- month moving average. d. Compute the monthly demand forecast for April through November using a 3- month weighted moving average. Use weights of 0.5, 0.33, and 0.17, with the heavier weights on the more recent months. e. Compute the mean absolute deviation for June through October for each of the methods used. Which method would you use to forecast demand for November? Unit III
1. Figure 7-3 shows the ACF for 36 random numbers, and Figure 7-27 shows the ACFs for 360 random numbers and for 1,000 random numbers. (a) Explain the differences among these figures. Do they all indicate the data are white noise? (b) Why are the critical values at different distances from the mean of zero? Why are the autocorrelations different in each figure when they each refer to white noise?
2. What the critical values of ACF explain? How are these calculated? Explain with an example. 3. What is Box-Pierce Q statistic? What does it indicate? 4. Explain the PACF function with the help of an example. 5. Does this (fig. below) require differencing? Examine and show what order of differencing is appropriate for this series.
6. Apply the Back Shift Operator (B operator) on the following equations to simply: a. Yt = Yt-1 + et b. Y = (Yt - Yt-1) c. Y=(Yt - Yt-1) d. Yt = et-1 + et 7. What are the seasonal ARIMA models? Explain with the help of examples. 8. The data below are from a white noise series with a standard normal distribution (mean zero and variance one). (Read left to right.)
A classic example of a non-stationary series is the daily closing IBM stock prices. Figure 7- 28 shows the analysis of n = 369 daily closing prices for IBM stock. Explain how each plot shows the series is non-stationary and should be differenced.
9.
Consider Table 7-11 which gives the number of strikes in the United States from 1951{1980. (a) By studying appropriate graphs of the series, explain why an ARIMA(0,1,1) model seems appropriate. (b) Should you include a constant in the model? Explain. (c) Write this model in terms of the backshift operator. (d) Fit the model using a computer package and examine the residuals. Is the model satisfactory? (e) Forecast three times ahead by hand. (f) Create a plot of the series with forecasts and prediction intervals for the next three periods shown.
10. Figure 7-29 shows the data for Manufacturer's stocks of Evaporated and Sweet Condensed Milk (case goods) for the period January 1971 through December 1980. (a) Describe the time plot. (b) What can you learn from the ACF graph? (c) What can you learn from the PACF graph? (d) Figure 7-30 shows an analysis of the differenced data (1 - B)(1 - B12)Yt, that is, a first-order non-seasonal differencing (d = 1) and a first-order seasonal differencing (D = 1). What model do these graphs suggest? 11. The sheep population of England andWales from 1867{1939 is graphed in Figure 7-31. Assume you decide to ft the following model:
where et is a white noise series.
(a) What sort of ARIMA model is this (i.e., what are p, d, and q)? (b) By examining Figure 7-32, explain why this model is appropriate. (c) The last five values of the series are given below: Year 1935 1936 1937 1938 1939 Millions of sheep 1648 1665 1627 1791 1797 Given the estimated parameters are Phi1 = 0.42, Phi2 =-0.20, and Phi3 = -0.30, give forecasts for the next three years (1940-1942).
UNIT IV 1. What are the assumptions of a regression model. 2. What is coefficient of determination? How it is determined? 3. What is the relevance of F-statistics? Explain with the help of an example. 4. Draw up a ANOVA table from the information below: Period Sales X Y 1 30 2 20 3 45 4 35 5 30 6 60 7 40 8 50 9 45 10 65 5. Analyse the ANOVA table calculated in Q4. 6. Given the data as under fit the least squares estimates on the plot. Period X 1 2 3 4 5 6 7 8 9 10 Stock 1 1 2 2 3 4 5 2 Prices Y 5 8 3 7 5 0 0 5 29 30 Calculate SSE for the data. 7. Compute the correlation coefficients from the following data and plot the correlation plot.
8. Explain the King Kong effect with the help of an example.
9. How is Simple regression and correlation related. Explain. 10. Calculate R square for the following data. LEX- Log Exchnge Rate; LFD- Log Financial Development. Examine the results. LEX LFD 2.113683 4.60517 3.80522 4.60517 9.035145 4.60517 7.030828 4.60517 1.335028 4.60517 3.804127 4.60517 1.322059 4.60517 0.544934 4.60517 3.693473 4.60517 9.569386 4.524261 2.113706 4.819802 3.853461 4.419514 9.234608 4.240128 7.161265 4.661576 11. What are the confidence intervals for individual coefficients. 12. Develop Confidence intervals using t-test for the following table: Parameter Estimate s.e. Alpha a= -4.208 1.040 Beta b=1.599 0.129 13. Given the following equation: Y (Capital flows) = 1.45 + 1.20 (Foreign Exchange rate) Determine the capital flows when FOREX is 110, 115, 120, and 140 rupees with respect to dollars.
Unit 5
1. What are the three principles that IBM ignored while forecasting? 2. What happens to the prices if there is no inflation? 3. What can you observe about the forecasting while taking the example of copper prices? Explain all the cases of copper prices movement over the years. 4. What does the long-term decrease in prices imply? 5. What do you mean by Analogies? Explain with the help of an example. 6. What are the key take aways of analogies between the Information revolution and Industrial Revolution. 7. Can understanding the Cycles help in better forecasting? Support your answer with relevant arguments. 8. What are judgemental biases? How do they arise? What can you propose as a solution to it? 9. Is Jury of executive opinion a valid method of forecasting? Elaborate your views. 10. Build a scenario about the future implications of the following new inventions:
(a) There have been several computer programs developed recently that recognize continuous speech and turn it into written text in a computer word processing program.
(b) In 1997, an IBM computer program (Deep Blue) beat the world chess champion (Kasparov).
(c) Today one can buy a PC running at 266Mhz and having 32 megabytes of RAM memory and 3 gigabytes of disk memory, plus many other powerful characteristics, for under $1,500. (In 1968 an electrical calculator which would only perform the four basic arithmetic functions used to cost $1,000{$4,000 in 1997 prices.)
