Forecasting
Methods and Applications

Spyros Makridakis, Steven C. Wheelwright, and Rob J. Hyndman

Third Edition, 1998, John Wiley & Sons, Inc.

This text has stood the test of time, being in its third edition, and provides a reasonably comprehensive exposition of forecasting.  There is a strong emphasis on time series models and all time series used in the book are available on the internet, along with 3003 series used in the most recent of a sequence of forecasting competitions.

Topics covered include:

• basic forecasting tools;
• time series decomposition;
• exponential smoothing;
• simple and multiple regression;
• Box-Jenkins ARMA and ARIMA models;
• Advanced time series models;
• Long-term forecasting methods;
• Judgemental forecasts;
• The use of forecasting methods in practice; and
• Issues in implementing forecasting.

The major omission for a comprehensive text is methods for new product forecasting - such as diffusion models and discrete choice models.

The webpage for the book is www.maths.monash.edu.au/~hyndman/forecasting/