Lecture notes in Macroeconomic and financial forecasting

Lecture notes in Macroeconomic and financial forecasting include all of the following: Elementary statistics, trends and seasons, forecasting, time series analysis, overview of macroeconomic forecasting, business cycle facts, data quality, survey data and indicators, using financial data in macroeconomic forecasting, macroeconomic models,. | Contents 1 Lecture Notes in Macroeconomic and Financial Forecasting (BSc course at UNISG) Elementary Statistics Mean, Standard Deviation, Covariance and Correlation . . . . . . . . Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Presenting Economic Data . . . . . . . . . . . . . . . . . . . . . . . 4 4 5 13 2 Trends and Seasons Trends, Cycles, Seasons, and the Rest . . . . . . . . . . . . . . . . . Trends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Seasonality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 17 19 22 3 Forecasting Evaluating Forecast Performance . . . . . . . . . . . . . Combining Forecasts from Different Forecasters/Models Forecast Uncertainty and Disagreement . . . . . . . . . Words of Wisdom: Forecasting in Practice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 24 28 28 29 Time Series Analysis Autocorrelations AR(1) . . . . . . AR(p) . . . . . . ARMA(p,q)∗ . . VAR(p) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 31 31 34 35 36 Overview of Macroeconomic Forecasting The Forecasting Process . . . . . . . . . . . . . . . . . . . . . . . . Forecasting Institutes . . . . . . . . . . . . . . . . . . . . . . . . . . 39 39 41 Paul S¨ derlind1 o 26 January 2006 4 5 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: . I thank Michael Fischer for comments and help. Document name: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 6 Business Cycle Facts Key Features of Business Cycle Movements . . . . . . . . . . . . . . Defining “Recessions” .