Econometric Forecasting - Winter Term 2011/2012
Forecasts are produced in numerous areas such as business, economics, finance and many other fields. Forecasts are useful if they help to improve the decision making process. This lecture aims to provide an introduction to statistical/econometric methods to produce and evaluate forecasts. Optimal point predictions for selected loss functions will be introduced along with the classical forecasting techniques using time series and regression models. To monitor forecast performance we eill discuss evaluation of single and multiple forecast methods. Selected topics will deal with density and interval forecasts as well as forecast combination methods. Examples from applied forecasting will be used to illustrate the concepts throughout the lecture.
Requirements: courses "Econometric Methods" and "Time Series Analysis" To complete the module "Selected Topics in Econometrics", the seminar "Selected Topics in Econometrics" or another course in the next semester (e.g. "Advanced Topics in Econometric Forecasting") has to be selected in addition this lecture.
