Econometric Modeling Forecasting

The purpose of this course is to provide students with an understanding of the modern economic modeling and forecasting methods. The course begins with the fundamentals of forecasting techniques, a review of single-equation, multiple equation forecasting models. These include ARIMA modeling with trend, seasonal and cyclical components. The course then examines the basis for making forecasts, the nature of forecast errors and examines the properties of forecasts based on different forecasting models. Practical examples using a variety of economic variables will be used to illustrate the actual generation of forecasts. A recent new development in this field is the investigation of non-stationary time series and its impact on estimation procedure. The contrast between modeling stationary and non-stationary time series will be discussed.