Econometric Modeling and Forecasting

Syllabus and Reading List

Syllabus and Reading List (pdf)

(Note: participants in the course will receive copies of OxMetrics. For all others, OxMetrics is available for purchase here)

Lectures

Session 1: Introduction to Econometric Modelling

Session 2: General-to-Specific Modelling with OxMetrics

Session 3: Theory of Reduction and Model Evaluation

Download: Slides (pdf)

Session 4: Introduction to Model Selection

Download: Slides (pdf), Data and Code (zip)

Session 5: Introduction to Monte Carlo Analysis

Download: Slides (pdf), Data and Code (zip)

Session 6: Detecting Breaks and Handling Shifts

Download: Slides (pdf), Data and Code (zip)

Session 7: Non-linear Model Selection

Download: Slides (pdf), Data and Code (zip)

Session 8: Empirical Model Discovery and Theory Evaluation

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Session 9: Empirical Modelling in Action

Download: Slides (pdf), Data and Code (zip)

Session 10: Introduction to Economic Forecasting (with OxMetrics)

Download: Slides (pdf), Data and Code (zip)

Session 11: Problems in Economic Forecasting & Robust Forecasting Methods

Download: Slides (pdf), Data and Code (zip)

Session 12: Forecasting Breaks

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Session 13: Economic Modelling and Forecasting Game

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Session 14: Conclusions

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The material in this course relies heavily on previous courses, presentations and research by a variety of people including Jennie Castle, Jurgen Doornik, David Hendry and Felix Pretis. Special thanks in particular to David Hendry and Felix Pretis.