Learning Outcomes
Most economic variables, if measured over time, show serial dependence. That is, current realizations of the variable depend on past outcomes. Capturing this serial dependence with a statistical model and utilizing this statistical model to forecast future values of the variable are the main goals of this course. For this purpose, students will learn identification, estimation, diagnostic checking and forecasting of ARIMA models. Key ingredients of the course are the weekly tutorials that focus on hands-on experience in applying these models to actual data in a computer classroom.
