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ECON 338 Introductory Econometrics II

ECON 338 Introductory Econometrics II - 4...

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ECON 338 Introductory Econometrics II Instructor: K.MacKenzie, Leacock 435, 514-398-4663 [email protected] Hours: To be arranged Textbook: Some material will be on WEB CT. Forecasting Methods and Applications by Makridakis, Wheelwright, and Hyndman, as well as some other books, will be put on reserve in the library. Students should have the equivalent of ECON 337 to take this course, namely familiarity with simple and multiple regression , together with a bit of matrix technique, principally through EXCEL. Some knowledge of calculus is highly desirable. The main thrust of the course is forecasting methods, although some additional topics appear. Some real data sets, including the well-known Box-Jenkins airline data, will be used for examples and problems. Work will be done using statistics software, such as MINITAB and EXCEL. Topic 1. Partial correlation and stepwise regression 2. Time-series models, transformations
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Unformatted text preview: 4. Ratio-to-moving-average method, deseasonalisation 5. Improvement to RTMA method 6. Multiple regression with indicator variables for seasons, deseasonalisation 7. Stationarity, finite differences, log transformations 8. Exponential smoothing 9. Holt-Winters methods 10. Seasonal models 11. Backshift operator, ARIMA, Box-Jenkins models 12. TBA Evaluation: Assignments 15 Midterm Examination 25 Final Examination 60 Students should have a calculator capable of statistics computations with two-variable capacity. Work may be presented in English or French. McGill University values academic integrity. Therefore all students must understand the meaning and consequences of cheating, plagiarism and other academic offences under the Code of Student Conduct and Disciplinary Procedures (see http://www.mcgill.ca/integrity for more information)....
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