17277 - Forecasting Techniques

Learning outcomes

The aim of the course is to provide basic econometric techniques for forecasting the dynamics of economic and financial phenomena.

Course contents

General concepts. Statistical and theoretical information. Quantitative and qualitative methods. Forecast horizon, loss function, information set and predictability. Exogeneity.

Econometric models for short-term forecast. Dynamic models: estimation, testing, specification analysis and forecasting.

Econometric models for long-term forecast. Stationarity and non-stationarity. Deterministic and stochastic trends. Modeling trends.

Choosing the predictor. Ex-post assessment of forecast ability. Choosing among many predictors: the Diebold-Mariano test. Forecast combination.

Intercept correction. Forecasting under structural breaks and time-varying parameters. Forecasting using intercept corrections.

Forecasting in practice. Defining the economic problem of interest. Collecting statistical data. Choosing the econometric model. Empirical analysis and economic interpretation of the results.

Readings/Bibliography

F.X. Diebold (2001) "Elements of forecasting", South Western/Thomson Learning.

Teaching methods

Computer lab.

Assessment methods

The final exam aims at evaluating the achievement of the following educational targets:

- knowledge of the econometric techniques shown during the frontal lectures

- ability to employ these techniques to forecast economic phenomena

The exam consists of a written test.

Teaching tools

All topics are illustrated with economic data using econometric package softwares as Gretl.

Office hours

See the website of Luca De Angelis