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Time-Series Econometric Forecasting - Decision …

Case HistoryCopyright 2016 Decision Analyst. All rights : International ManufacturerMethods: Autoregressive Time-Series Regression, Decision Tool, econometrics , Ensemble Model, Model Validation, Time-Series , Forecasting , Variable SelectionSummary A client company (an international manufacturer) had experienced unprecedented volatility in the price of a primary raw-material input used to produce several of its products. The client desired to build a Forecasting model to forecast the price of the raw material input, for 1 to 12 months into the future. A Time-Series dataset was constructed, including monthly data for the price and approximately 1,200 current-period or lagged potential predictor variables. An ensemble of Autoregressive Time-Series Models were developed to predict future prices. The client company used forecasted raw material prices to better control costs of production and to increase IssuesRapid growth in Asian economies were causing periodic excess demand and large increases in the price of a particular raw material input to the client s production process.

A time-series dataset was constructed, including monthly data for the price and approximately 1,200 current-period or lagged potential predictor variables. An ensemble of Autoregressive Time-Serie s Models were developed to predict future prices.

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