A 10-hour introductory course to forecasting macroeconomic time series variables.
 

1. Tests for Forecast Evaluation

Rossi, B. (2023), Recent Developments in Forecast Evaluation
 

2. 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
 

3. 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 presentations of selected papers by students in class (10%), as well as 3 homeworks (10%) and a final exam (80%).
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