EC 413/513

Economic Forecast and Analysis

Fall 2011

Professor Junsoo Lee

On-line Marketing_Prof_Forecasting tutorial

Example of Forecasting (Bank of Canada).. somewhat professional, but..

Example of Forecasting (P. Phillips)

Bank of Canada Short-Term Forecasting of National and Provincial Employment in Canada)

Lecture 1 Introduction to Forecasting

(WK Ch 1)

Lecture note 1 (revised)

Data:

file (5 Mb, ND)

Forecasting Cooperation (hw)

Forecasting Consultant handout (hw)

Forecasting recessions

Combined Forecasts

Lecture 2 Moving Average and Exponential Smoothing

(WK Ch 3)

Lecture note 2 (revised)

Simple versus exponential MA?

Stockcharts Handouts

Moving Average

MACD

Data:

exchange_rates (Table3.1.xls)

consumer_sentiment (Table3.2.xls)|

outstanding consumer credit (Table3.3.xls)

truck_production (Table3.6.xls)

mobile_home.xls or mobile_home_new.xls (for exercise/homework)

Lecture 3 Time Series Decomposition

(WK Ch 6)

Data:

Chapter_6_Q5.xls (homework)

Lecture 4 Regression and Forecasting

(WK Ch 4, 5 and other books)

Lecture note 4 _Part 1

Lecture note 4 _Part 2

Yield spread for recession: reference paper 1, paper 2

Trend of commodity prices: reference paper 1

Regression with Excel (Gap sales file excel 2003 or Gap sales file excel 2007)

H/W Data: SP500_holt.xls (forecastX) or sp500.txt (1970 Q1 - 2000 Q2) for RATS

H/W Data: Chapter_4_Q7.xls (Excel or forecastX) or sales.txt (1994 Q1 - 2003 Q4) for RATS

Case: Housing Prices, bubble or not? How many gold medals? Who will win the election?

housing prices study

Link between foreclosures and House prices (NBER paper)

Predicting # gold medals

Forecasting Election handout

(Introduction to RATS and Regression with WINRATS)

(Read: Handbook Ch 1)

Gap Sales (trend and seasonality)

Code: gap.prg | Data: gap.txt (gap_sales.xls)

Output: gap.out

Example RATS Codes: Regression1.prg

Data File: us.prn

For discussion in class: ex.prg ex.prn ex.doc

More practice in using RATS

RATS Exercise 1.doc (homework)

Data file: wpi.wk1: wpi.txt wpi.xls (use these if needed; sent by emails)

Example Data:

Fair's Affair Example

Data file (txt fair.txt | excel fair.xls)

RATS example code fair.prg

Original paper by Fair

Fair election paper

Exercise on t and F-test (Fair);

Mini Project

Handout (mini-project); example code: mini.prg ; data file (UKEnergy.txt)

Lecture 5 ARIMA Models

Lecture Note 5 (word)

ARMA simulation (summary pdf file)

data file: arma_simulation.dat

code files: arma_simulation.prg ARMA_simulation_hw.PRG

ARMA identification and estimation

Data : y0.prn y1.prn y2.prn y3.prn (revised)

or use excel files, y1.xls y2.xls y3.xls (revised) y4.xls y1A.xls y2A.xls y3A.xls y4.xls

Rats code: arma_hw.prg arma_hw1.prg (revised)

RATE and other data files

Proc-ARMA-Basics.sas (Alternative SAS codes for ARMA procedures)

Proc-ARMA-Basics.out (SAS output)

RATS Examples (Download these first: BJIDENT.SRC | BJFORE.SRC)

(a) ARMA1.PRG | BASICS.WKS

(b) ARMA2.PRG | GNP82.DAT | SIM2_PRN

(c) ARMA3.PRG (hw!)

Data File: us.prn

RATS Examples

RATS Examples (Diebold) (all examples zip file)

Oil Prices and forecasting (magazine; Why is forecasting so hard?)

Regression Project Examples

Example1(tip)

Example2(baby)

Example3(Stock_article)

Example4(article)

Sports Betting (examples of regression analysis on market efficiency)

NCAA Basketball Games

NFL (JF 1997)

FAIR model

Lecture 6 ARCH - GARCH models

Lecture Note 6 (word)

Case Study

Use this:

archwpi_revised.txt or prg data file: wpi.wk1 and quarterly.xls

Old ARCHWPI.PRG (RATS code)

ARCHWPI.DOC (output) and

GARCH.SRC (you need this; copy it to your folder)

Results for Various GARCH models

Other RATS Codes (hard)

ARCH_WPI.PRG (using user defined MLE)

BJIDENT.SRC and BJFORE.SRC (you need these; copy them to your folder)

Homework

Data: Excess.txt | RATS code (revise this) excess.prg:

Sample Test for Exam 2

Lecture 7 Multivariate (VAR) models

(Handbook Ch 5a) (Handbook 5b)

var_ex1.prg var_ex2.prg

Lecture 8 Modeling Long-run Relations, Unit Roots, Cointegration and Error-Correction Models

(Handbook Ch 4)

Unit_root_ex1.prg (code) unit_root_ex1.xls (data) dfunit.src (copy this, too)

Coint_ex1.prg (code) coint_ex1.xls (data) EGTESTRESIDS.SRC & mackinnoncv.src (copy these, too)

Example of Forecasting; ECM models (P. Phillips)

Many many RATS examples

Lecture 9 Nonlinear Models

(Below: OLD teaching materials; do not print or copy.)

Example of Forecasting (Bank of Canada).. somewhat professional, but..

Example of Forecasting (P. Phillips)

Bank of Canada Short-Term Forecasting of National and Provincial Employment in Canada)

SAS (SAS/ETS) Manuals (over 2000 pages)

SAS/ETS Examples Here Here 1 or 2

RATS Examples (Diebold) (all examples zip file)

Professor Diebold

Professor Walter Enders

Course Outline and Reading List

Lecture 1 Introduction to Forecasting and Review of Regression

Lecture Note 1 (word)
SAS example 1 inflation.sas inflation.dat

inflation1.sas inflation.xls

Interpreting SAS output
RATS example 1 ex.prg ex.prn

Fair sas/rats codes and data: fair1.sas fair.xls fair1.out | fair2.sas fair.cvs | fair.prg fair.prn fair.out || do not use: fair.des fair.dat
Fair affair paper
Fair election paper
Exercise on t and F-test (Fair); also homework
Uncovered Interest Parity (JIE, 2005) paper
Housing Prices, Bubbles? housing prices study

SAS/RATS Homework data: interest.dat interest.xls

Mini Project

Project description
Data: UKEnergy.xls UKEnergy_use.xls

Sports Betting (examples of regression analysis on market efficiency)

Finding MSE (RMSE): example of a naive model

Gap_sales.xls

OLD lecture note on regression (pdf) | (word)

Lecture 2 Modeling and Forecasting Trend

Lecture 3 Modeling and Forecasting Seasonality

Lecture Note 3 (word)

Lecture 4 Moving Average & Exponential Smoothing

� consumer_sentiment_ses.xls |

� SP500_holt.xls

� truck_prod_hol_winter.xls

� mobile_home.xls

Excel Add-in exe file (big file, 5 Mb)

Lecture 5 ARIMA Models

Lecture Note 5 (word)

� SAS Examples

Data file : BASICS.XLS (or BASICS.WKS)

Data file: GNP82.xls or GNP82.DAT

� RATE and other data files

Proc-ARMA-Basics.sas (Alternative SAS codes for ARMA procedures)

Proc-ARMA-Basics.out (SAS output)

� ARMA identification and estimation (h/w)

o Data : y0.prn y1.prn y2.prn y3.prn

o (or use excel files, y1.xls y2.xls y3.xls)

o H/W word file

o

o Rats code: arma_hw.prg

� RATS Examples

(a) ARMA1.PRG | BASICS.WKS

(b) ARMA2.PRG | GNP82.DAT | SIM2_PRN

| BJIDENT.SRC | BJFORE.SRC

� Data File: us.prn

Lecture 6 ARCH - GARCH models

Lecture Note 6 (word)

� ARCH_inflation.sas (output: ARCH_inflation.out)

o Homework

Data: Excess.txt | RATS code (revise this) excess.prg:

(Below: OLD teaching materials; do not print or copy.)

Regression Project Examples

Example1 Example2

Example3 Example4

Library (click on "course reserve")

Course Outline and Reading List

On-line Marketing_Prof_Forecasting tutorial

Lecture 1 Introduction to Forecasting

(WK Ch 1)

� Lecture note 1 (pdf) | (word)

Data:

� Gap_sales.xls

Case: Housing Prices, bubble or not? How many gold medals?

� housing prices study

� Predicting # gold medals

Lecture 2 Moving Average and Exponential Smoothing

(WK Ch 3)

� Lecture note 2 (pdf) | (word)

Simple versus exponential MA?

Data:

� consumer_sentiment_ses.xls |

� SP500_holt.xls

� truck_prod_hol_winter.xls

� mobile_home.xls

Excel Add-in exe file (big file, 5 Mb)

** we will do Lecture 4 first and do Lecture 3 afterwards.

Lecture 3 Regression and Forecasting

(Including Review of Regression Analysis)

ALL files (zipped)

� Lecture note 3 (pdf) | (word)

� Handout 1 (Interpretation)

� Handout 2 (Algebra of Regression)

Exercise question

Exercise h/w

� Fair's Affair Example

o Data file (txt fair.txt | excel fair.xls)

o RATS example code fair.prg

o Original paper by Fair

� Fair's Election Prediction Model

o Your own prediction

o 1996 update summary

o Original paper (1978)

(Introduction to RATS and Regression with WINRATS)

(Read: Handbook Ch 1)

o Example RATS Codes: Regression1.prg

o Data File: us.prn

o For discussion in class: ex.prg ex.prn ex.doc

More practice in using RATS

o Gap Sales (trend and seasonality)

o Code: gap.prg | Data: gap.txt (gap_sales.xls)

o Output: gap.out

� RATS Exercise 1.doc (homework)

� Data file: wpi.wk1:

� Handout (mini-project); data file (UKEnergy.txt)

Lecture 4 Stationary Time Series Modeling and Forecasting

(Handbook Ch 2)

ALL files (zipped)

� Lecture note 4 (pdf) | (word)

� RATS Examples

(a) ARMA1.PRG | BASICS.WKS

(b) ARMA2.PRG | GNP82.DAT | SIM2_PRN

| BJIDENT.SRC | BJFORE.SRC

� ARMA identification and estimation (h/w)

o Rats code: arma_hw.prg

o Data : y0.prn y1.prn y2.prn y3.prn

o H/W word file

� Data File: us.prn

Cast Study: Rail.zip (all)

rail.txt arma_rail.prg bjident.src bjfore.src

� Exercise Questions

� Example: arma4_ex.prg

Lecture 5 Volatility and ARCH Models

(Handbook Ch 3)

� Lecture note 5 (pdf) | (word)

� Case Study

ARCHWPI.PRG (RATS code)

ARCHWPI.DOC (output) and

GARCH.SRC (you need this; copy it to your folder)

� Other RATS Codes (hard)

ARCH_WPI.PRG (using user defined MLE)

BJIDENT.SRC and BJFORE.SRC (you need these; copy them to your folder)

� Homework

Data: Excess.txt | RATS code (revise this) excess.prg:

Lecture 6 Multivariate (VAR) models

(Handbook Ch 5a) (Handbook 5b)

� Lecture note 6

� var_ex1.prg var_ex2.prg

Lecture 7 (skip) Modeling Long-run Relations, Unit Roots, Cointegration and Error-Correction Models

� Lecture note 7

(Handbook Ch 4)

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