HE322 Econometric Modeling and Forecasting

Course Description and Scope

This course aims to introduce students to quantitative econometric forecasting techniques. The
syllabus begins with a review of predictions from simple regression models. This is followed by
procedures to forecast the trend and seasonal components of economic variables based on time
series regressions, decomposition methods and exponential smoothing techniques.
The second half of the course concentrates on the modeling of the cycles and irregular
component in time series using the Box-Jenkins methodology. Identification, estimation,
diagnostic checking and prediction from non-seasonal ARIMA models and seasonal SARIMA
models will be covered in detail and further applications to intervention analysis will be
included.
The course ends with a discussion of the choice of an appropriate forecasting method.
Throughout, practical examples involving economic and business data will be used to illustrate
the actual generation of forecasts from the Stata statistical software.

Proposed Lecture Schedule

Week No.
1

Topics
Econometric Model Forecasts

Readings
Chapter 3

Time Series Regression on Trend and Seasonality

Chapter 6

Decomposition Methods

Chapter 7

Exponential Smoothing (I)

Chapter 8

Exponential Smoothing (II)

Chapter 8

Introduction to Box-Jenkins Models

Chapter 9

Identification of ARIMA Models

Chapter 9

Estimation and Forecasting with ARIMA Models

Chapter 10

9
10
11

Identification and Forecasting with SARIMA Models

Intervention Analysis
Choice of Forecasting Method

Chapter 11
Chapter 12
Chapter 1

Basic Text:

B.L Bowerman, R.T. OConnell and A.B. Koehler

Forecasting, Time Series and Regression: An Applied Approach
Fourth Edition, Thomson Brooks/Cole
NTU Library Call Number: QA280.B786

Method of Instruction
Lectures
Tutorials

:
:

2 hours per week

1 hour per week

Lectures commence in Week 1 and end in Week 13

Tutorials commence in Week 2 and end in Week 13

Course Assessment
Forecasting Project
Final Examination

:
:

30%
70%
_____
100%
_____

Lecturer/ Co-ordinator
Asst Prof Choy Keen Meng

Office Room No.

HSS-04-72

DID
67906785

E-mail Address
kmchoy@ntu.edu.sg