- Docente: Giuseppe Cavaliere
- Credits: 5
- SSD: SECS-P/05
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in STATISTICAL SCIENCES (cod. 8054)
Course contents
General concepts.Statistical and theoretical information.
Quantitative and qualitative methods. Forecast horizon, loss
function, information set and predictability. Exogeneity.
Econometric models for short-term forecast. Dynamic models:
estimation, testing, specification analysis and forecasting.
Multivariate models: vector autoregressive models (VAR),
impulse-response functions, variance decomposition.
Econometric models for long-term forecast. Stationarity and
non-stationarity. Deterministic and stochastic trends. Modeling
trends.
Choosing the predictor. Ex-post assessment of forecast
ability. Choosing among many predictors: the Diebold-Mariano test.
Forecast combination.
Intercept correction. Forecasting under structural breaks
and time-varying parameters. Forecasting using intercept
corrections.
Forecasting in practice. Defining the economic problem of
interest. Collecting statistical data. Choosing the econometric
model. Empirical analysis and economic interpretation of the
results.
Readings/Bibliography
F.X. Diebold (2001) "Elements of forecasting", South Western/Thomson Learning.
Teaching methods
Computer lab
Assessment methods
Oral and written exam
Teaching tools
All topics are illustrated with economic data using some econometric packages
Links to further information
http://www2.stat.unibo.it/cavaliere
Office hours
See the website of Giuseppe Cavaliere