Economics 132

Business and Economic Forecasting

Instructor: Geoffrey M. Ducanes

Email address: upse_mail@yahoo.com
Consultation hours: Wednesday and Friday 1-2:30pm and 4-5:30pm
Room number: Rm. 235 Encarnacion Hall

References:
Franses, P., D. van Dijk, and A. Opschoor. 2014. Time Series Models for Business and Economic
Forecasting 2nd Edition. Cambridge University Press.
Montgomery, D., C. Jennings, and M. Kulahci. 2015. Introduction to Time Series Analysis and
Forecasting. John Wiley & Sons, Inc.
Diebold, F. X. 2001. Elements of Forecasting 2nd Edition. South-Western College Publishing.

Softwares:
Stata
EVIEWS

Course Outline:
1. Introduction to Forecasting
a. What to forecast?
b. Why forecast?
c. Limits of forecasting

2. Statistics Background for Forecasting

a. Time series data
b. Stationarity
c. Transformation
d. Trend and seasonal adjustments
e. Evaluation of forecasting models

3. Univariate Time Series Models

a. Exponential Smoothing Methods
i. First-order exponential smoothing
ii. Second and higher-order exponential smoothing
b. ARIMA Models
i. MA process
ii. AR process
iii. ARMA process
iv. ARIMA process

4. Multivariate Time Series Models

a. Forecasting using leading indicators
b. Cointegration and the error correction model
c. VAR Model
d. VECM model
 5. Other Forecasting Topics
a. ARCH and GARCH models
b. Regime-switching models
c. Granger Causality

Requirements:
Mid-term Exam (Sections 1 to 3) 35%
Final Exam (Sections 4 to 5) 35%
Computer exercises 20%
Class participation 10%

Grade Equivalents
Raw Score Grades
<55 5.00
50.0 54 3.00
55.0 59 2.75
60.0 64 2.50
65.0 69 2.25
70.0 - 76 2.00
77.0 82 1.75
83.0 89 1.50
90.0 95 1.25
95.0 + 1.00