Applied Business Cycle Analysis and Forecasting

I. Syllabus:

Business cycle analysis and forecasting are useful devices for economic policy making. Numerous institutions like governments, central banks, the European Commission, the OECD, or the IMF regularly provide economic forecasts. This course aims at giving insights into the field of forecasting from a practitioner’s point of view.

  1. Introduction: Forecasting what and for whom?
  2. National accounts
    • Short introduction to the system of national accounts
    • GDP: Decomposition of the time series
  3. Forecasting models
    • Time series forecasting: AR, ARMA, ARX, VAR
    • Forecasting with ragged edge data
    • Out-of-sample forecast experiment
    • Judgemental forecasting, conditional forecasting
    • Further topics
  4. Forecasting evaluation
    • Loss functions
    • Forecast rationality
    • Evaluating interval forecasts
  5. Forecast comparison and combination
    • Diebold-Mariano test
    • Test on forecast encompassing
    • Forecast combination
  6. Business cycle analysis and medium term forecasts
    • Trend-cycle decomposition
    • The method of the European Commission
    • Medium term forecasts and economic policy
    • Special topics

 

II. Prerequisites:

 

III. Exam:

  • written or oral exam (depending on number of participants)
  • you may use a formulary (will be available for download)
  • you can earn some bonus points in the computer tutorial

IV. Downloads:

 

V. Literature:

  • F. Lequiller and D. Blades (2006). Understanding national accounts. OECD.
  • Economic Outlook of the OECD.
  • Economic forecasts of the European Comission.
  • F.X. Diebold and R.S. Mariano (1995) Comparing predictive accuracy, Journal of Business and Economic Statistics 13, 253-263.
  • R.S. Mariano (2007) Testing forecast accuracy, in: A Companion to Economic Forecasting (eds. Clements/Hendry), Blackwell.
  • R. Giacomini & B. Rossi (2010) Forecast comparisons in unstable environments, Journal of Applied Econometrics 25(4), 595-620.
  • Further articles are announced later in the course.
     

VI. Lecture:

VII. Tutorial:

VIII. PC-Tutorial (voluntary):

Access to the computer lab requires one-time registration with a Stu-Account

IX. Registration: