Economic Forecasting
Anthony Tay
Singapore Management University
Chapter 2 The AR(1) Model
We begin our study of econometric forecasting models with the Autoregressive model of Order 1
Yt 0 1Yt 1 t , E[ t | Yt 1 ] 0 .
[AR(1)]
The AR(1) is just a linear re

Economic Forecasting
Anthony Tay
Chapter 8
8.1
Singapore Management University
Vector Error Correction Models
Cointegration in VARs
We have seen that two I(1) variables Yt and X t are cointegrated if there exists some linear combination of the
two variabl

Could we have predicted the
2008 Global Financial Crisis?
Fourth Annual SMU-SKBI Conference
29th April 2014
The views expressed in this presentation do not necessarily reflect the
views of the Board or Management of GIC Private Ltd.
Motivation
Could we h

Project Instructions Part Two
In the workfile project.wf1, you will find data for Singapore real GDP from 1975Q1 to 2014Q4 (Chain
linked, 2010 prices, seasonally adjusted). You are to construct a single-equation forecasting model for
Singapore real GDP gr

Econ 233 Economic Forecasting
Singapore Management University
Anthony Tay
Chapter 7
7.1
Single Equation Cointegration Models
Introduction
Many economic variables display I(1) characteristics. In this chapter, we explore the consequences of this fact
for s

Economic Forecasting
Anthony Tay
Chapter 5
Singapore Management University
Maximum Likelihood Estimation; MA Models
Maximum Likelihood Estimation
We have been estimating our linear regression models using OLS. We discuss now another estimation
method, cal

Economic Forecasting
Anthony Tay
Singapore Management University
Matrix Algebra Appendix
I assume that you have had some (very) elementary matrix algebra in prior mathematics classes. In particular,
I assume that you know (i) what matrices are, and how to

Economic Forecasting
Anthony Tay
Chapter 6
Singapore Management University
Vector Autoregressions
The AR concept can be extended to multivariable multi-equation systems called Vector Autoregressions
(VARs). Throughout this chapter we will work with statio

Economic Forecasting
Singapore Management University
Anthony Tay
0.
Economic forecasting identifies and measures the pertinent empirical regularities in
past economic data, and projects these empirical regularities forward to produce forecasts of the
vari

ECON233 Economic Forecasting
SMU Term 2 2013/14
Anthony Tay
Assignment 1
Due 5pm 5 Feb 2014*
1.
Exercises in Notes Chapter 1 Question 1
2.
Exercises in Notes Chapter 1 Question 3
3.
Exercises in Notes Chapter 1 Question 4
4.
The law of iterated expectatio

Economic Forecasting
Anthony Tay
Chapter 1
Singapore Management University
Introduction, Review of Probability and Linear Regression
Economic forecasting methods identify and measure the pertinent empirical regularities in past
economic data, and project

ECON233 Economic Forecasting
SMU Term 2 2013/14
Anthony Tay
Assignment 3
Due 5pm Fri 21 Mar 2014*
1.
Chapter 6 Question 2
2.
Suppose you have one-step ahead forecasts of a variable y from two different sources A and B .
()
)
Label the forecasts y i1| and

ECON233 Economic Forecasting
SMU Term 2 2013/14
Anthony Tay
Assignment 4
1.
Chapter 7 Question 2b
2.
Due 5pm Fri 28 Mar 2014*
Chapter 7 Question 6
The following refer to the revised version of Chapter 8
3.
Chapter 8 Question 2
4.
Chapter 8 Question 3
This

School of Economics, Singapore Management University
AY2013/14 Term 2
ECON233 ECONOMIC FORECASTING
INSTRUCTOR
Anthony Tay
SOE Room 5049 (5th floor)
Telephone: 6828-0850
Email: anthonytay@smu.edu.sg
COURSE DESCRIPTION AND LEARNING OBJECTIVES
Forecasting is

ECON233 Economic Forecasting
SMU Term 2 2013/14
Anthony Tay
Assignment 2
1.
Chapter 4 Question 1
2.
Due 5pm 12 Mar 2014*
Chapter 5 Question 3
3.
Pick one of the series that you downloaded in Chapter 1 Question 1, and try to fit a time series
model to it.

Economic Forecasting
Anthony Tay
Chapter 4
Singapore Management University
AR(p)
We have studied the stationary AR(1) model
Yt 0 1Yt 1 t , | 1 | 1 , t .,1, 2,3,., T ,.
and the non-stationary unit root AR(1) model
Yt 0 Yt 1 t , t .,1, 2,3,., T ,.
where t i

Economic Forecasting
Singapore Management University
Anthony Tay
Chapter 2 The AR(1) Model
1.
We begin our study of econometric) forecasting models with the Autoregressive model of Order 1
Yt 0 1Yt 1 t , E[ t | Yt 1 ] 0 .
[AR(1)]
The AR(1) is just a linea