Economic Forecasting Econ 493 A1 - Fall 2018

Economic Forecasting
Econ 493 A1 - Fall 2018
Instructor: Sebastian Fossati

Office: Tory 7-11
Email: [email protected]
Website: http://www.ualberta.ca/~sfossati/
Office Hours: Thursday 11:00 to 11:59 am
Lecture
Tuesday and Thursday 9:30 to 10:50 am in HC 2 26 (Humanities Centre).
Course Description
Econometrics is the study of statistics as applied in economics. We are interested in answering
three kinds of questions. (1) How do we test a given scientific hypothesis? (2) How do we
measure parameters of scientific interest? (3) What are good methods of forecasting? Questions
(1) and (2) are covered in Econ 399 and Econ 497. Question (3) is the main focus of Econ 493.
Specifically, we will discuss statistical methods for modeling and forecasting trends, seasonal,
and cyclical components; ARMA models; dynamic regression models; forecast evaluation; and
forecasting in the presence of unit roots.
Learning Goals
By the end of the course students should: (1) Obtain an understanding of common statistical
methods used in business and economic forecasting. (2) Develop the computer skills required
to forecast time series data. (3) Gain insights into the problems of implementing forecasting
methods for use in business and economics.
Course Prerequisites and Corequisites

Prerequisites: Econ 399 or consent of the department.
These pre/corequisites are enforced by the department. If you do not have these pre/corequisites
your registration may be cancelled.
Textbook
Hyndman and Athanasopoulos (2018) will be our main reference for the course. The book is
available online and free (https://otexts.org/fpp2/). If you prefer, a paperback version is
available from Amazon.
- Hyndman, R., and Athanasopoulos, G. (2018): Forecasting: Principles and Practice, 2nd
Edition.
1
Additional Textbooks
You may also find the following textbooks useful (earlier editions can also be used).
- Wooldridge, J.M. (2013): Introductory Econometrics: A Modern Approach, 5th Edition.

South-Western.
- Verbeek, M. (2012): A Guide to Modern Econometrics, Fourth Edition. Wiley.
- James, G., Witten, D., Hastie, T., and Tibshirani, R. (2013): An Introduction to Statistical
Learning: with Applications in R. Springer.
Econometrics Package
R is used extensively in the course. R is a free software environment for statistical computing
and graphics (http://www.r-project.org). The course website has links to some R manuals
for beginners and the Use R! series of books, all available for free (links provided on the course
website).
Grading
The final grade will be based on four homework assignments (10%, 2.5% each), a forecasting
project (30%), a first midterm exam (30%), and a second midterm exam (30%). Further details
will be provided as assignments are distributed. Regular class participation is expected. For this
course, no extra credits are available.
Grades reflect judgments of student achievement made by instructors. These judgments are
based on a combination of absolute achievement and relative performance in a class.
Special notes:
- Homework assignments will be a combination of computer problems using R and analytical

problems. Everyone must turn in their own assignments, but collaboration is permitted.
Collaboration on the computer problems is encouraged. Late homework assignments will
not be accepted. Solutions will follow after the assignments are handed in.
- The forecasting project will be a short length (under 10 pages) report. This report (and
the associated proposal and class presentation) will have cumulative late penalties. The
report must be completed in order to receive credit for this course. Detailed instructions
will be distributed later.
Proposal due date: Friday October 5 at 11:59 am.
Final report due date: Friday December 7 at 11:59 am.
- Midterm Exam 1: Thursday October 25 (in class). Sample exam questions will be made
available on the course website.
- Midterm Exam 2: Thursday December 6 (in class). Sample exam questions will be made
available on the course website.
2
Course Outline
Note: FPP2 denotes “Forecasting: Principles and Practice, 2nd Edition”.
1. Introduction to Forecasting and R

FPP2: ch. 1, appendix: Using R
2. Time Series Data

FPP2: ch. 2, 6
3. Forecaster’s Toolbox
FPP2: ch. 3
4. Exponential Smoothing
FPP2: ch. 7
5. ARIMA Models
FPP2: ch. 8
6. Regression Models
FPP2: ch. 5, 9
7. Advanced Topics
FPP2: ch. 11, 12
8. Class Presentations
3
Missed / Deferred Exams
There will be no make-up midterm exam. A student who misses the midterm exam because of
incapacitating illness, severe domestic affliction or other compelling reason (including religious
conviction) may have the percentage weight transferred to other class work.
More information can be found in §23.3 of the University Calendar.
Accessibility Resources (formerly Student Accessibility Services)

If you have a condition that may require some classroom or exam modifications, please contact
Accessibility Resources to obtain a determination as to what accommodations should be made.
Academic Success Centre

The Academic Success Centre offers a variety of learning resources, including a variety of work-
shops in learning effective study and exam strategies.
Centre for Writers

The Centre for Writers offers free one-on-one writing coaching to all students. Students can
request consultation for a writing project at any stage of development.
Notes
Policy about course outlines can be found in Course Requirements, Evaluation Procedures and Grading in the
University Calendar.
The University of Alberta is committed to the highest standards of academic integrity and honesty. Students
are expected to be familiar with these standards regarding academic honesty and to uphold the policies of the
University in this respect. Students are particularly urged to familiarize themselves with the provisions of the
Code of Student Behaviour (online at www.governance.ualberta.ca) and avoid any behaviour that could poten-
tially result in suspicions of cheating, plagiarism, misrepresentation of facts and/or participation in an offence.
Academic dishonesty is a serious offence and can result in suspension or expulsion from the University.
Audio or video recording, digital or otherwise, of lectures, labs, seminars or any other teaching environment
by students is allowed only with the prior written consent of the instructor or as part of an approved accommo-
dation plan. Student or instructor content, digital or otherwise, created and/or used within the context of the
course is to be used solely for personal study, and is not to be used or distributed for any other purpose without
prior written consent from the content author(s).

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Economic Forecasting

Econ 493 A1 - Fall 2018

Instructor: Sebastian Fossati

Course Prerequisites and Corequisites

- Wooldridge, J.M. (2013): Introductory Econometrics: A Modern Approach, 5th Edition.

- Verbeek, M. (2012): A Guide to Modern Econometrics, Fourth Edition. Wiley.

- Homework assignments will be a combination of computer problems using R and analytical

1. Introduction to Forecasting and R

2. Time Series Data

More information can be found in §23.3 of the University Calendar.

Accessibility Resources (formerly Student Accessibility Services)

Academic Success Centre

Centre for Writers

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