Department of Economics

ECON 390
Economic Forecasting
Spring 2010
Bruce Hansen

TR, 1:00 - 2:15. Nutrition Science 290
email: behansen@wisc.edu
Classlist econ390-14-s10@lists.wisc.edu

The prerequite is Econ 410 (Econometrics) or concurrent enrollment, General Business 304, or the consent of the instructor (if you have taken a similar class elsewhere).

The class is currently filled. If you are interested in taking the course, fill out the wait list application. Decisions will be made about the wait list shortly before the start of the spring semester.




This is a one semester introduction to econometric time series analysis, forecasting methods, and forecast evaluation. The course will cover theoretical, methodological and applied topics, and much of the work will be hands-on computer analysis in STATA.

Topics covered will include: Trends, Seasonality, Cycles, autoregressive models, nonstationarity, volatility, forecast criteria, point forecasting, interval forecasts, fan charts, and forecast combination.

The primary text is Elements of Forecasting by Francis X. Diebold. Best Book Buys
A supplementary text is Introduction to Econometrics by James H. Stock and Mark W. Watson (just chapters 14, 15, and 16) Best Book Buys The chapters from Stock-Watson will be made available through through library reserves.

Evaluation will be based on problem sets, one midterm, one final exam, and a forecasting project.

A major component of the course is a Forecasting Project. Students will pick a time-series to forecast (actual value to be realized in early December), build an model for the time-series, make a point and interval forecast, and then evalulate the accuracy of the forecast after the actual value has been realized. This will be a practical, fun, and hands-on experience with applied econometrics and forecasting.

Links
STATA
Resources for Economists
Elements of Forecasting
Stock-Watson Companion Website
Bruce Hansen's Webpage
Department of Economics