August 27, 2017

Organization of the Course

  • General Information
    • Venue
    • Class Hours
    • Office Hours
  • Textbook for the Course
  • Important Dates to Remember
  • Grading
    • Homework
    • Empirical Project
    • Mid-Terms
    • Attendance
  • Topics

Overall Purpose of the Course

This course is decidated to teaching students tools in econometrics that are especially useful in forecasting business time series such as sales, expenditures, and macroeconomic variables such as GDP, interest rates, inflation, stock market, etc.

Student Learning Objectives (I)

The student will learn the essential of and demonstrate proficiency in

  • Graphical examination of time teries
  • Decomponsition of time series into trend, seasonal, cyclical, and irregular components
  • Stable seasonal pattern forecasting model
  • Deterministic Trend/Seasonal forecasting Model
  • Unobserved Component Forecasting Model
  • Box-Jenkins Forecasting Model

Student Learning Objectives (II)

The student will learn the essential of and demonstrate proficiency in

  • Exponential Smoothing Forecasting Model
  • Transfer Function Model
  • Vector Autoregressive Time Series Models
  • Evaluation of the forecasting accuracies of competing forecasting methods
  • Evaluation of the usefulness of a proposed leading economic / business indicator
  • Forming efficient "combination" forecasts
  • Running R Computer programs

General Information – Venue and Times

Lectures will take place in Umphrey Lee 303 lecture room.

Lecture times are:

  • Monday: 5:00pm - 6:15pm
  • Wednesday: 5:00pm - 6:15pm

There will be occasions such as last week, when we need to reschedule lectures

General Information – Office Hours

I will generally be available for questions after the lectures:

  • Monday: 6:15pm - 7:00pm
  • Wednesday: 6:15pm - 7:00pm

I am also available via e-mail: christofferkoch@smu.edu

I appreciate if you e-mail questions in advance.

General Information – Grading Weights

Exams, homeworks, class attendance:

  • Mid-Term I Exam 30%
  • Mid-Term II Exam 30%
  • Homework assignments 30%
  • Class attendance 10%

General Information – Attendance

You are expected to attend the lectures

  • Maximum of 10 points for class attendance

    • 10 points for no unexcused absences

    • 8 points for 1 or 2 absences

    • 6 points for more than 2 absences

    • After 4 or more absences, I reserve the right to drop the student from the class

General Information – Homework

There will be 9 homework assignments and an empirical project in lieu of a final exam

  • Usual homework problems are valued at 10 points each.

  • The empirical project in lieu of a final exam will be a double-point (20 points) assignment

  • It will be included in the homework part of your grading scale.

General Information – Disability

Disability Accommodations

Students needing academic accommodations for a disability must first register with Disability Accommodations & Success Strategies (DASS). Students can call 214-768-1470 or visit http://www.smu.edu/Provost/ALEC/DASS to begin the process. Once registered, students should then schedule an appointment with the professor as early in the semester as possible, present a DASS Accommodation Letter, and make appropriate arrangements. Please note that accommodations are not retroactive and require advance notice to implement.

General Information – Religion

Religious Observance

Religiously observant students wishing to be absent on holidays that require missing class should notify their professors in writing at the beginning of the semester, and should discuss with them, in advance, acceptable ways of making up any work missed because of the absence. (See University Policy No. 1.9.)

General Information – Exc. Absences

Excused Absences for University Extracurricular Activities

Students participating in an officially sanctioned, scheduled University extracurricular activity should be given the opportunity to make up class assignments or other graded assignments missed as a result of their participation. It is the responsibility of the student to make arrangements with the instructor prior to any missed scheduled examination or other missed assignment for making up the work. (University Undergraduate Catalogue)

General Information – Campus Carry

In accordance with Texas Senate Bill 11, also known as the "campus carry" law, following consultation with entire University community SMU determined to remain a weapons-free campus. Specifically, SMU prohibits possession of weapons (either openly or in a concealed manner) on campus. For more information, please see: SMU Weapons Policy.

Textbooks

I am going to be relying more on classroom presentations to teach this course than on any one textbook. I have not found any textbook that closely enough matches the topics that I think are important for this course. However, there is a nice open source (free) book that can serve as a useful supplementary textbook for this course. It is Forecasting Principles and Practice (FPP) by Rob. J. Hyndman and George Athanasopoulos. You can find it at the website https://www.otexts.org/fpp.

Supplementary Textbooks

Some other useful textbook treatments:

  • Diebold (2007)
    • Elements of Forecasting (Fourth Edition)
  • Cryer and Chan (2008)
    • Time Series Analysis With Applications in R
  • Cowpertwait and Metcalfe (2009)
    • Introductory Time Series with R
  • Shumway and Stoffer (2011)
    • Time Series Analysis and Its Applications

Software, Data, Codes

  • Please download R and RStudio

  • Consult Using R for Introductory Econometrics (URFIE) and the related material for a review of basic econometrics and an introduction into R

  • This course will be very "hands on", thus you need to familiarize yourself with R and RStudio (or another GUI of your choice)

  • I will introduce you to some commonly used data sources.

  • Homeworks require you to work with R

  • I will also post some working examples on the course website

Important Dates to Remember

  • First Day of Class: Monday, August 28

  • Labor Day Holiday: Monday, September 4

  • Fall Break: Monday - Tuesday, October 10–11

  • Last Day to Drop a Class: Friday, November 3

  • No Classes on Wednesday, November 22

  • Thanksgiving Break: Thursday – Friday, November 23–24

  • Last Day of Class: Monday, November 27

  • When double-point homework assignment is due (in lieu of final exam):
    • Monday, December 4 by 5:00 pm.
    • Assignment can be turned in to my mailbox in the 301 Office Suite in Umphrey Lee Building.

Grading

  • A: 92-100
  • A-: 90-91
  • B+: 88-89
  • B: 82-87
  • B-: 80-81
  • C+: 78-79
  • C: 72-77
  • C-: 70-71
  • D+: 68-69
  • D: 62-67
  • D-: 60-61
  • F: 0-59

Topics (I)

Teaching page will be maintained under www.christofferkoch.com as well as on Canvas

  1. Introduction
  2. Software
  3. Characteristics of Time Series
  4. Seasonality, Trend, Cycle
  5. Stable Seasonal Pattern Model
  6. Deterministic Trend / Deterministic Seasonal Pattern Model
  7. Unobserved Components Model
  • Mid Term I Exam: October 4, 2017

Topics (II)

8. Concepts fo Box-Jenkins Modeling

9. Stationary, Non-Seasonal Time Series

10. Forecasting Stationary, Non-Seasonal Time Series

11. Non-Seasonal, Stochastically-Trending Time Series

12. Seasonal, Stochastically-Trending Time Series

13. Exponential Smoothing

14. Vector Autoregressions

15. Combining Forecasts

  • Mid Term II Exam: November 29, 2017

Questions?