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Module 5
A Composite Model
Trend is the long term level and the pattern of change in the dependent
variable. It is estimated as a simple function of the period number (time).
Linear regression or method of least squares is used to estimate the trend.
Moving Centered
Per Year Qtr Revenue Avg MA Ratio
1 1992 1 1026.00
2 1992 2 1056.00 Calculate the ratio of
3 1992 3 1182.00 1531.3 1549.5 0.7628 the revenue to the
4 1992 4 2861.00 1567.8 1591.9 1.7973 centered moving
5 1993 1 1172.00 1616.0 1636.5 0.7162 average
6 1993 2 1249.00 1657.0 1724.6 0.7242
7 1993 3 1346.00 1792.3 1806.5 0.7451
8 1993 4 3402.00 1820.8 1829.3 1.8598
9 1994 1 1286.00 1837.8 1850.6 0.6949
10 1994 2 1317.00 1863.5 1924.9 0.6842
11 1994 3 1449.00 1986.3 2008.3 0.7215 1182
12 1994 4 3893.00 2030.3 2047.1 1.9017
1549.5 = .7628
13 1995 1 1462.00 2064.0 2086.8 0.7006
14 1995 2 1452.00 2109.5 2147.9 0.6760
15 1995 3 1631.00 2186.3 2225.5 0.7329
16 1995 4 4200.00 2264.8 2309.3 1.8187
17 1996 1 1776.25 2353.9 2392.7 0.7424
18 1996 2 1808.25 2431.6 2422.7 0.7464
19 1996 3 1941.75 2413.8
20 1996 4 4128.75
Example: Calculating raw Seasonal Indices
Q Moving Centered
Per Year tr Revenue Avg MA Ratio Avg Ratio SI DeS Forecast
1 1992 1 1026.00 0.7124 1440.2 1430.3
2 1992 2 1056.00 0.7066 1494.4 1487.3
3 1992 3 1182.00 1531.3 1549.5 0.7628 0.7394 1598.5 1544.2
Reseason-
alized
Per Year Qtr Revenue forecast Square Error
1 1992 1 1026 1018.983 97.00468
(1026 1018.98) 2 = 97.0
2 1992 2 1056 1050.927 51.54981
3 1992 3 1182 1141.832 2950.947
4 1992 4 2861 2948.503 2257.815
5 1993 1 1172 1181.217 167.3762 As an alternative goodness of
6 1993 2 1249 1211.841 2765.401 fit measure, calculate Root
7 1993 3 1346 1310.219 2341.483
Mean Square Error.
8 1993 4 3402 3367.862 343.6507
9 1994 1 1286 1343.45 6503.07
10 1994 2 1317 1372.755 6225.828
11 1994 3 1449 1478.607 1603.193
12 1994 4 3893 3787.221 3299.437
13 1995 1 1462 1505.684 3759.864 RMSE = 9865.2 = 99.3
14 1995 2 1452 1533.669 13358.15
15 1995 3 1631 1646.995 467.8932
16 1995 4 4200 4206.581 12.7695
17 1996 1 1776.25 1667.917 23123.7
18 1996 2 1808.25 1694.584 25875.59
19 1996 3 1941.75 1815.382 29205.72
20 1996 4 4128.75 4625.94 72893.41
Average square error
9865.2
Example: De-Seasonalizing with Statpro
http://www.indiana.edu/~mgtsci/StatPro.html
(Statpro output)