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Advanced Time Series: Forecasting (ECO-AD-TIMESERIE)

ECO-AD-TIMESERIE


Department ECO
Course category ECO Advanced courses
Course type Course
Academic year 2024-2025
Term BLOCK 2
Credits .5 (EUI Economics Department)
Professors
Contact Simonsen, Sarah
Sessions

Description

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A 10-hour introductory course to forecasting macroeconomic time series variables.
 
  1. Tests for Forecast Evaluation

Rossi, B. (2023), Recent Developments in Forecast Evaluation
 
  1. Forecasting and Time Variation: Structural Breaks and Instabilities

Rossi, B. (2013). “Advances in Forecasting Under Model Instability.” In: G. Elliott and
A. Timmermann (eds.), Handbook of Economic Forecasting, Volume 2B, Elsevier Publica- tions), 1203-1324
 
  1. Factor Models and Big Data

Stock, J. and Watson, M. Forecasting with many predictors. In G. Elliott, C. Granger and A. Timmermann, eds. 2006. Handbook of Economic Forecasting, Volume 1. Amster- dam: Elsevier- North Holland. Ch. 10.

 

Homework, exams and grading

There will be one presentation of one reference (published) paper per student in class (15%), as well as a final exam (85%).
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Page last updated on 05 September 2023

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