Forecasting Method I

Course Syllabus in Italian: TECNICHE DI PREVISIONE ECONOMICA I

Academic year: 2006-2007

Location: Treviso

Department: Scienze Economiche

Degree Level: Specialistica

Reference Sector: SECS-P/05

Credit total amount: 5

Global Work load: 125 ore, di cui lezioni 30

Period: II

Educational Goal: The aim of the course is to provide the econometric knowledge useful to define and estimate models suitable in economics and finance and to assess their usefulness and drawbacks. The practical and applied aspects will be highly underlined.

Compulsory prerequisites:Economics I and II

Recommended prerequisites: Mathematics I, Mathematics II, Statistics I, Econometrics I

Contents:

1. Introduction to time series.

2. Stationary and non stationary stochastic processes.

3. Linear and non linear stochastic processes: ARMA processes and integrated processes, seasonal models.

4. Forecasting for univariate and multivariate processes: the Box e Jenkins approach.

5. Automated procedures based on combined forecasts.

6. Forecasting with regression models.

7. Use of leading indicators.

8. Hints on cointegrated system forecasting.

9. Evaluating forecasting accuracy: Comparing outcomes and predictions.

10. Decomposition of the mean square forecasting error.

11. Non invariance of the measures based on the mean square forecasting error.

12. Testing procedures for measuring predictability.

Reading List:

Lecture notes

Suggested additional references:

Granger C.W.J. and P. Newbold, Forecasting Economic Time Series, Academic Press Inc., 1986.

Clements M.P. and D.F. Hendry, Forecasting Economic Time Series, Cambridge University Press, 1998.

Harvey A.C., Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, 1989.

Assessment: A working paper on a theoretical or applied subject chosen by the student. The paper will be presented in a workshop.