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Lecture notes in Macroeconomic and financial forecasting

Lecture notes in Macroeconomic and financial forecasting include all of the following: Elementary statistics, trends and seasons, forecasting, time series analysis, overview of macroeconomic forecasting, business cycle facts, data quality, survey data and indicators, using financial data in macroeconomic forecasting, macroeconomic models,. | Contents 1 Lecture Notes in Macroeconomic and Financial Forecasting (BSc course at UNISG) Elementary Statistics 1.1 Mean, Standard Deviation, Covariance and Correlation . . . . . . . . 1.2 Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3 Presenting Economic Data . . . . . . . . . . . . . . . . . . . . . . . 4 4 5 13 2 Trends and Seasons 2.1 Trends, Cycles, Seasons, and the Rest . . . . . . . . . . . . . . . . . 2.2 Trends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.3 Seasonality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 17 19 22 3 Forecasting 3.1 Evaluating Forecast Performance . . . . . . . . . . . . . 3.2 Combining Forecasts from Different Forecasters/Models 3.3 Forecast Uncertainty and Disagreement . . . . . . . . . 3.4 Words of Wisdom: Forecasting in Practice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 24 28 28 29 Time Series Analysis 4.1 Autocorrelations 4.2 AR(1) . . . . . . 4.3 AR(p) . . . . . . 4.4 ARMA(p,q)∗ . . 4.5 VAR(p) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 31 31 34 35 36 Overview of Macroeconomic Forecasting 5.1 The Forecasting Process . . . . . . . . . . . . . . . . . . . . . . . . 5.2 Forecasting Institutes . . . . . . . . . . . . . . . . . . . . . . . . . . 39 39 41 Paul S¨ derlind1 o 26 January 2006 4 5 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: Paul.Soderlind@unisg.ch. I thank Michael Fischer for comments and help. Document name: MFForecastAll.TeX. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 6 Business Cycle Facts 6.1 Key Features of Business Cycle Movements . . . . . . . . . . . . . . 6.2 Defining “Recessions” .