Department of Economics

ECON 460: Economic Forecasting
Fall 2018
Bruce Hansen

Tuesday-Thursday, 2:30 - 3:45. Humanties 1131
Office Hours: Tuesdays 10:00 - 12:00, or by appointment

The prerequite is Econ 400 or 410 (Econometrics).

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.

Textbook Applied Economic Forecasting Using Time Series Methods, by Eric Ghysels and Massimiliano Marcellino
Supplemental Text The Signal and the Noise, by Nate Silver

Stata Handout

Problem Sets


Stata do Files

Data Files

FRED Economic Data
Bruce Hansen's Webpage
Department of Economics
Academic Misconduct
Grievance Procedure