Course Prerequisites: ECO 438

REQUIRED RESOURCES:*

Required Text: Francis X. Diebold, Elements of Forecasting 4th Ed., Mason, OH: South-Western, 2006.

 

Papers referenced in the syllabus will be on e- reserves at the Milner Library website.  To access the articles, go to www.mlb.ilstu.edu, Reserve Readings, Enter On-line Catalog, Course Reserves, and choose ECO 439.

 

A class web site will be maintained for the course.  This web site can be found at http://www.econ.ilstu.edu/dloomis/439web/439home.htm.  You may find it more convenient to go to the Department of Economics Home Page at http://www.econ.ilstu.edu/, follow the link for Course Web Pages and find ECO 439 under my name.  At the class web site, you will find the following:

 

·               A current copy of this syllabus,

·               Class Announcements under "What's New",

·               Lecture Notes,

·               Problem Sets,

·               Links to Useful web sites, and

·               Student Papers from previous years.

 

COURSE OBJECTIVES:

This course covers the analysis and forecasting of time series from a hands-on applied perspective.  The course will provide the foundation for modeling trend, seasonality and cycles while building upon the econometric knowledge acquired in previous courses. Common problems in real-world applications will be addressed.

COURSE REQUIREMENTS

 

There will be 2 midterms and a final. No make-up exams will be given unless arrangements have been made prior to the exam and approved by the instructor.  The final will be comprehensive in the sense that material from earlier in the class is needed to understand later material.  The final will focus on material from the last 1/3 of the class. 

 

Problem Sets will be given throughout the semester, usually one per week. Problems will include the use of spreadsheet analysis, preferably using Microsoft Excel.  If you have never used spreadsheets, please seek out resources (i.e. books, people) to help you learn how to use the software.  Instructional Technology regularly schedules a basic Microsoft Excel course for the fall semester. 

 

This course will also make extensive use of the econometric package Eviews.  We will have a brief introduction/overview at the beginning of the semester.

 

Regular attendance is expected. A forecasting project will be due towards the end of the semester and you will have to demonstrate a command of the various forecasting techniques covered in this class.

 

The final grade will be based on the following point scheme:

Midterm #1                 100 points

Midterm # 2                100 points

Problem Sets               100 points

Project                         100 points

Final                            100 points

TOTAL                       500 points

 

            The following point scale will be used to evaluate your performance:

 

                        Grade             Total Points

                           A                       450 or above

                           B                       400 or above

                           C                       350 or above

                           D                       300 or above

                           F                        less than 300

 

 

COURSE OUTLINE

 

I.          Introduction to Forecasting

 

            Diebold, Chapter 1

Loomis, David G. and James E. Cox, Jr., “A Course in Economic Forecasting: Rationale and Content,” co-authored with Journal of Economics Education, Vol. 31 No. 4, Fall 2000.

 

II.        Forecasting Process

 

            Diebold, Chapter 2

Bails, Dale G. and Larry C. Peppers, Business Fluctuations 2^nd Ed., Upper Saddle River, NJ: Prentice Hall, 1993, Chapter 1.

 

III.       Graphical Analysis

 

            Diebold, Chapter 3

Loomis, David G. and James E. Cox, Jr., “Principles for Teaching Economic Forecasting,” co-authored with International Review of Economics Education, Vol. 1, No. 2, 2003.

 

IV.       Forecasting Trend

 

            Diebold, Chapter 4

“The Perils of Forecasting,” Wall Street Journal, January 26, 2006.

 

EXAM #1

 

V.        Forecasting Seasonality

Diebold, Chapter 5

Pearson, Roy L., “Increasing the Credibility of Your Forecasts: 7 Suggestions,” Foresight, Vol. 1 Issue 3, February, 2006.

 

VI.       Understanding Cycles

            Diebold, Chapter 6

Armstrong, J. Scott, “Standards and Practices for Forecasting,” in Principles of Forecasting, ed. By J. Scott Armstrong, Boston: Kluwer, 2001.

 

VII.     Modeling Cycles

            Diebold, Chapter 7

 

VIII.    Forecasting Cycles

 

            Diebold, Chapter 8

EXAM #2

IX.       Forecasting with Trend, Seasonal and Cyclical Components

 

            Diebold, Chapter 9

Bails, Dale G. and Larry C. Peppers, Business Fluctuations 2^nd Ed., Upper Saddle River, NJ: Prentice Hall, 1993, Chapter 11.

X.        Forecasting with Regression Models

 

            Diebold, Chapter 10

Loomis, David G. and Christopher M. Swann, “Telecommunications Demand Forecasting with Intermodal Competition – A Multi-Equation Modeling Approach,” Telektronikk, Vol. 100, No. 4, 2004.

 

XI.       Combining Forecasts

 

            Diebold, Chapter 11

Armstrong, J. Scott, “Evaluating Forecasting Methods,” in Principles of Forecasting, ed. By J. Scott Armstrong, Boston: Kluwer, 2001.

 

XII.     Smoothing

 

            Diebold, Chapter 12

 

XIII.    Volatility

 

            Diebold, Chapter 13

           

FINAL EXAM