Lecture 1          Introduction to Forecasting

(WK Ch 1)

 Lecture note 1

Data:

Gap_sales.xls

Excel Add-in exe file (big file, 5 Mb)

Forecasting Consultant handout (Homework)

Lecture 2          Moving Average and Exponential Smoothing

                        (WK Ch 3)

  Lecture note 2

Simple versus exponential MA?

Stockcharts Handouts

Moving Average

MACD

Data:

exchange_rates (Table3.1.xls)

consumer_sentiment (Table3.2.xls)|

outstanding consumer credit (Table3.3.xls)

truck_production (Table3.6.xls)

mobile_home.xls or mobile_home_new.xls (for exercise/homework)

Lecture 3          Time Series Decomposition

                        (WK Ch 6)

Lecture note 3

Data:

 Table6Gap.xls

Chapter_6_Q5.xls (homework)

Lecture 4          Regression and Forecasting

                        (WK Ch 4, 5 and other books)

 Lecture note 4 _Part 1

Lecture note 4 _Part 2

Regression with Excel  (Gap sales file excel 2003  or Gap sales file excel 2007)

H/W Data:  SP500_holt.xls  (forecastX) or sp500.txt (1970 Q1 - 2000 Q2) for RATS

H/W Data:  Chapter_4_Q7.xls  (Excel or forecastX) or sales.txt (1994 Q1 - 2003 Q4) for RATS

Case: Housing Prices, bubble or not? How many gold medals?  Who will win the election?

 housing prices study

Link between foreclosures and House prices (NBER paper)

Predicting # gold medals

Forecasting Election handout

                       (Introduction to RATS and Regression with WINRATS)

                        (Read: Handbook Ch 1)

Gap Sales (trend and seasonality)

Code: gap.prg | Data: gap.txt  (gap_sales.xls)

Output: gap.out

Example RATS Codes: Regression1.prg

Data File: us.prn 

For discussion in class: ex.prg  ex.prn  ex.doc

More practice in using RATS

 RATS Exercise 1.doc (homework)

Data file: wpi.wk1:

Example Data: 

HOUSE.TXT

Fair's Affair Example

Data file (txt fair.txt | excel fair.xls)

RATS example code fair.prg

Original paper by Fair

Cited works

Fair  election  paper

                        Exercise on t and F-test (Fair);

Mini Project

Handout (mini-project);  example code: mini.prg ; data file (UKEnergy.txt)

Paul's example

Lecture 5          ARIMA Models

                       Lecture Note 5 (word)

                        ARMA simulation  (summary pdf file)

        data file: arma_simulation.dat 

        code files: arma_simulation.prg   ARMA_simulation_hw.PRG

ARMA identification and estimation

Data :  y0.prn  y1.prn  y2.prn  y3.prn (revised)

                  or use excel files,  y1.xls  y2.xls  y3.xls (revised)  y4.xls  y1A.xls  y2A.xls  y3A.xls  y4.xls

    H/W word file

     Rats code: arma_hw.prg   arma_hw1.prg (revised)

     RATE and other data files

basics.xls

Proc-ARMA-Basics.sas  (Alternative SAS codes for ARMA procedures)

Proc-ARMA-Basics.out (SAS output)

   RATS Examples (Download these first: BJIDENT.SRC | BJFORE.SRC)

(a) ARMA1.PRG | BASICS.WKS

(b) ARMA2.PRG  | GNP82.DAT | SIM2_PRN

(c) ARMA3.PRG (hw!)

    Data File: us.prn 

RATS Examples

RATS Examples (Diebold)  (all examples zip file)

 

Oil Prices and forecasting (magazine; Why is forecasting so hard?)

 

Regression Project Examples

Example1(tip)                 

Example2(baby)

Example3(Stock_article)  

Example4(article)

Sports Betting (examples of regression analysis on market efficiency)

NCAA Basketball Games

NFL (JF 1997)

FAIR model

Lecture 6          ARCH - GARCH models

        Lecture Note 6 (word)

 Case Study

ARCHWPI.PRG (RATS code)

ARCHWPI.DOC (output) and

GARCH.SRC (you need this; copy it to your folder)

Results for Various GARCH models

Other RATS Codes (hard)

ARCH_WPI.PRG (using user defined MLE)

BJIDENT.SRC and BJFORE.SRC (you need these; copy them to your folder)

Homework

Data: Excess.txt |  RATS code (revise this) excess.prg:

       Sample Test for Exam 2

Lecture 7         Multivariate (VAR) models

                      (Handbook Ch 5a)  (Handbook 5b)

Lecture note 7 

  var_ex1.prg    var_ex2.prg

Lecture 8       Modeling Long-run Relations, Unit Roots, Cointegration and Error-Correction Models

Lecture note 8 

         (Handbook Ch 4)

        Unit_root_ex1.prg (code)   unit_root_ex1.xls  (data)    dfunit.src (copy this, too)

        Coint_ex1.prg (code)   coint_ex1.xls  (data)    EGTESTRESIDS.SRC & mackinnoncv.src (copy these, too)

        Example of Forecasting; ECM models (P. Phillips)

   Many many RATS examples