Economics 3P92
Forecasting
Jean-Fran¸cois Lamarche
Department of Economics
Brock University
Winter 2024

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1 Contact Information

Instructors: Jean-Fran¸cois Lamarche

Office: PL 443

Phone: (905) 688-5550, Ext. 3328

Email:

Office Hours: Directly after labs

2 Course Description

The goal of this course is to provide an introduction to modern forecasting methods used in

economics and business and to present enough information about each method for students to

be able to use them sensibly. No attempt at giving a thorough discussion of the theoretical

details behind each method but plenty of intuition will be provided.

R will be used throughout and the plan is for students to learn how to forecast with R. R is free

and available on almost every operating system. It is a great tool for all statistical analysis,

not just for forecasting.

At the end of this course I hope that you will have developed a solid understanding of forecast

ing. During the term you will be asked to define, describe, discuss and apply key tools that are

used in modern statistical learning. Particular emphasis will be put on assessing and evaluating

core concepts in an intuitive manner. The use of the computer will be essential in internalizing

and verifying these concepts as well as in manipulating real-world data to organize a coherent

answer to a question.

4 Topics

Key forecasting concepts and principles

Time series graphics (identify and visualize features of data)

Forecaster’s toolbox (general tools introduced, benchmark forecasting methods)

Time series regression models (forecast the time series of interest y assuming that it has

a linear relationship with other time series x)