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.
- Tests for Forecast Evaluation
Rossi, B. (2023), Recent Developments in Forecast Evaluation - Forecasting and Time Variation: Structural Breaks and Instabilities
Rossi, B. (2013). “Advances in Forecasting Under Model Instability.” In: G. Elliott andA. Timmermann (eds.), Handbook of Economic Forecasting, Volume 2B, Elsevier Publica- tions), 1203-1324 - 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