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 |
13/11/2024 8:45-10:45 @ Seminar Room 3rd Floor,V. la Fonte
15/11/2024 14:00-16:00 @ Seminar Room 3rd Floor,V. la Fonte
19/11/2024 8:45-10:45 @ Seminar Room 3rd Floor,V. la Fonte
26/11/2024 8:45-10:45 @ Seminar Room 3rd Floor,V. la Fonte
02/12/2024 8:45-10:45 @ Seminar Room 3rd Floor,V. la Fonte
|
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