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TAMU ECMT 475 - Syllabus

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ECMT 475-500Economic ForecastingSpring 2011Instructor Guangyi Ma E-mail [email protected] 979-845-9211 Class Website http://elearning.tamu.eduO¢ ce ALLN 3049 O¢ ce Hour MF 14:00 pm - 17:00 pmor by appointmentClass Time MWF 12:05 pm - 12:55 pm Class Room ALLN 1003Course Description and PrerequisiteThe goal of this course is to equip students with necessary modeling techniques to forecasteconomic time series, using econometric software. Topics such as basic linear regression,model building and speci…cation, and hypothesis testing will be reviewed, followed by anin depth examination of various modern forecasting techniques. This course is meant to betaken subsequent to an introductory course of econometrics, such as Ecmt 463.TextbookDiebold, Frank X., Elements of Forecasting, 4th edition, South-Western College Publishing,2007. (ISBN-10:032432359X, ISBN-13:9780324323597)Optional:Wooldridge, Je¤rey M., Introductory Econometrics, 4th Edition, South-Western College Pub-lishing, 2009. (ISBN-10:0324581629, ISBN-13:9780324581621)Montgomery, Douglas C., Jennings, Cheryl L., and Kulahci, Murat, Introduction to TimeSeries Analysis and Forecasting, John Wiley & Sons, Inc., 2008. (ISBN-10:0471653977,ISBN-13:9780471653974)Enders, Walter, Applied Econometric Times Series, 3rd Edition, John Wiley & Sons, Inc.,2010. (ISBN-10:0470505397, ISBN-13:9780470505397)Selected additional readings and computer software manuals will be made available as needed.Tentative Course OutlinePart 1: Review of Basic Statistics and Econometrics [Ch. 2]- random variables, probability, and probability distributions- linear regression- model estimation- model speci…cation and hypothesis testingPart 2: Review of Computer Software- data acquisition1- econometrics software: Eviews, etc- advanced model buildingPart 3: Introduction to Forecasting [Ch. 1, 3-4]- what is forecasting- important considerations for forecasting- objective- cost function- model speci…cation- statistical graphicsPart 4: Di¤erent Forecasting Models [Ch. 5-10]- forecasting trend- forecasting seasonality- modeling cycles: MA, AR, ARMA models- other types of forecast: exponential smoothing, etc.Part 5: Forecast Evaluation [Ch. 12]- model speci…cation- model comparison and testingPart 6: Advanced Topics as Time Permits [Ch. 11, 13-14]- nonlinear models- vector models- nonstationarity and prediction- models of conditional mean versus conditional varianceCourse GradingGrades will be based on students’performance in 2 exams, 7 homework assignments (tenta-tive), 1 term project and class participation. The percentage of each category is as follows: Mid-term exam: 25% (12:00 pm - 13:00 pm March 2nd, 2011 at the same classroom) Final exam: 25% (10:30 am - 12:30 pm May 11th, 2011 at the same classroom) Homework: 20% (roughly one due every two weeks) Term project: 20% (including written paper and class presentation) Class attendance and participation: 10%2ExamsThe …nal exam is cumulative. If your score on the …nal exam is higher than on the mid-term exam, then the mid-term score will be ignored and the …nal exam will count for 50%.Otherwise your 50% grade from the "exam part" will be the average of the 2 exam scores.There will be NO make-up mid-term exam. If you miss the mid-term exam without validexcuse then your score on this exam will be zero, and the favorable arrangement above willnot apply. If you have a valid excuse for missing the mid-term exam, the …nal exam will countfor 50%. To be quali…ed for this policy, you must satisfy all of the following requirements: Your reason for missing the exam must be very good and must conform to universityregulations. See http://student-rules.tamu.edu/search/rule7.htm for details concerningexcused absences. You must have a written excuse explaining the reason for missing the exam. Forexample, if you were ill, you must have written veri…cation from your physician orfrom the University Health Center, or, if there is a death in your immediate family,you must provide written veri…cation. You must contact with the instructor within 48 hours of the missed exam. Yourinstructor will determine whether you have satis…ed these conditions. Having to workat the time of the exams is not an acceptable excuse.HomeworkThere will b e 7 homework assignments. The number of homework is changeable as the courseproceeds. Solution for the homework will be posted on the class webpage. Most homeworkproblems will be numerical and empirical nature and occasionally of (mild) theoretical nature.The empirical problems are designed to teach you practical modeling and forecasting skills.The theoretical problems aim to improve your understanding of concepts and to prepare youfor the exams.Team-works are encouraged. However, the maximum team size is three, and each memberof a team must hand in her or his own written or typed assignment –NO photocopies oremails! All assignments are due at the BEGINNING of the class on the announced duedate. Late homework will not be accepted unless you qualify the university rules regardingexcused absences (refer to above policy for valid excuse). If you skip a homework assignmentwithout a valid excuse then each time the missing homework will be graded zero.Term ProjectFor the Term Project, the team may turn in a single copy of their report listing all membersof the team as authors. The maximum team size will also be 3. The teams need not be3the same as the teams on the homework assignments. The project is due on the last day oflectures. The project should be a typed 7-10 page paper discussing the econometric analysisof a small group of macroeconomic or other data series of your choice, with primary focuson developing a forecasting model, discussing the predictions of that model, and evaluatingits predictive ability relative to alternative models. We will use our …nal exam period forin-class presentations of the Term Project by each group, an 8-10 minute presentation tothe class followed by a brief question and answer session with the class. We will discuss theTerm Project at length as the semester progresses, and comments and hints will be given onthe class webpage.AttendanceStudents are expected to attend class regularly. Please be respectful to the instructor andyour fellow students by avoiding chronic tardiness. Class attendance will be weighted by10% in the calculation of …nal grades. During the semester, two or three in-class quizzeswithout


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