Homework 1 (Due September, 22nd)
Question 1 (50 points):
Suppose a firms business activities generate a random income of $x. This firm finances
its activities by selling two types of claims (or financial securities). An investor who buys
the first type of
Simple Linear Regression
Handout 1: Review of
Statistics p.8~p.17
Example 1
Let y be a students college
achievement, measured by his/her
GPA. This might be a function of
several variables:
x1 = rank in high school class
x2 = high schools overall rating
x3
ECON 422
ECONOMIC FORECASTING
PROF. S. MIALON
LectureNote1:ReviewofStatistics
LEARNING OBJECTIVES
Review basic statistics: Random variables, Normal distribution and t distribution,
Confidence Intervals, Hypothesis Testing
1.DescriptiveStatistics
Measureof
ECON 422
Economic Forecasting
Prof S. Mialon
Lecture Note 3: Supplement
Regression Diagnostics:
Detecting Violations of Classical Assumptions
I. Linearity
Example 1: Telemarketing
A company that provides transportation services uses a telemarketing divisi
ECON 422
Economic Forecasting
Prof S. Mialon
Lecture Note 6 (Chapter 8)
Modeling Cycles: ARMA
LEARNING OBJECTIVES
I.
Learn how to model MA (Moving Average) Process
Learn how to model AR (Autoregressive) Process
Learn how to model ARMA (Autoregressive Movi
ECON 422
Economic Forecasting
Prof S. Mialon
Lecture Note 5 (Chapter 7)
Characterizing Cycles
LEARNING OBJECTIVES
Understand the Nature of Covariance Stationary time-series
Learn how to use partial autocorrelation diagram to diagnose ARMA
cycles
Learn lag
ECON 422
Economic Forecasting
Prof S. Mialon
LectureNote3(Chapter5+)
Trend
I. ModelingTrend
1.WhatisTrend?
Example3.1QuarterlyPersonalConsumptionExpenditurefrom1980q11997q1.
q u a r te r ly c o n s u m p tio n
6000
4000
2000
1980q1
1985q1
Q1:Whatisdistinc
ECON 422
Economic Forecasting
Prof S. Mialon
Lecture Note 3-2 Supplement:
Regression Models
Forecasting with Regression Models
LEARNING OBJECTIVES
Understand the structure of Classical Linear Bivariate Regression
Learn how to incorporate potential Heteros
ECON 422
ECONOMIC FORECASTING
PROF. S. MIALON
Homework Assignment #1
Due: 2/11(W) by midnight.
Upload your file on Blackboard
No Late Submission will be accepted.
Name:_
I. Barbara Lynch is the product manager for a line of skiwear produced
by HeathCo Ind
Lecture 2:
The Forecast Process
ECON 422
Sue Mialon
LEARNING OBJECTIVES
Framework for a successful forecasting system
Forecast Format
Forecast Object
Forecast Methods and Complexity
Effective use of Graphs to determine the best forecast
model
(Preliminary
CH. 3-Principle Components of
Forecasting
ECO422 Dr. Koohi
Forecast statements
Three types:
1.
Point forecast results in a single number estimate
and is usually affected by shocks (unexpected
events), and has a degree of confidence
(uncertainty) attached
THE TERM STRUCTURE OF INTEREST
RATES
RATES
Topics
Topics
1. Term structure.
2. Facts about term structure.
3. Theories of the Term Structure:
Expectation hypothesis theory.
Segmented Markets theory
Liquidity Premium theory
Form
Formula for yields
for
Yiel
FINANCIAL ASSETS AND FINANCIAL
MARKETS
Key Topics
The structure: securities traded on them
The function of financial
intermediaries: their activities
intermediaries: their activities
The US system
Th
The Function of Financial Markets
Fi
To channel fund
Econ 422 Homework 3
3. Below is a graph of the natural log of kwh vs time from the second quarter of 1972 to
the 4th quarter of 1993. There is an upward trend and signs of seasonality as there is a
distinct pattern occurring every year. It is unclear whet
1. The scatter plot of growth on tradeshare does not seem to depict a strong
negative or positive relationship as the data seems at once clustered (with most
data points having a range of .3-.8 tradeshare correlated with a -1 to -3 range in
growth) and sp
ECON 422W
ECONOMIC FORECASTING
PROF. S. MIALON
Homework Assignment #2
Due: 2/22 (W) by midnight.
Upload your file on Blackboard
No Late Submission will be accepted.
Name:_
I. Barbara Lynch is the product manager for a line of skiwear produced by
HeathCo I
ECON 422
ECONOMIC FORECASTING
PROF. S. MIALON
Homework Assignment #3
Due: 4/5(W) by midnight.
Upload your file on Blackboard /Assignment/
No Late Submission will be accepted.
Name:_
On Blackboard/Assignments/, you will find a data file named
bankwire.txt,
ECON 422W
ECONOMIC FORECASTING
PROF. S. MIALON
Homework Assignment #1
Due: 2/20(M) by midnight.
Upload your file on Blackboard
No Late Submission will be accepted.
Name: Jacob Shuster
Barbara Lynch is the product manager for a line of skiwear produced by
The Classical Model
Dr Koohi
What is a Good estimator?
We have already discussed two key criteria of a good
estimator: it should minimize observational error, and
should maximize the explained portion of the variation
in the dependent variable.
There are
Ch. 5 Time Series and Trend
ECO422 Dr. Koohi
Time Series
There are 3 main components in any
Time Series:
Trend.
Seasonality. is that part of a series movement that repeats
Seasonality
Trend is that part of a series movement that corresponds to
long-term,
ECON 422
Economic Forecasting
Prof S. Mialon
Economic Forecasting
Practice questions #1
A: Forecasting with Regressions
B: Forecasting Trend and Seasonality
C: Cycles
Part A: Model Selection and Forecasting with Linear Regression
There are thousands of mu