Dr. Bill Hung HKBU - ECON3670
Economic and Business Forecasting
Course information
 Syllabus
Term Paper Assignment
Past Examine papers

Lecture Notes:
 1. Overview of Forecasting Method
2. Stationary and Unit Root Test
3. Moving Average & Exponential Smoothing
4. Time Series Decomposition & Trend
5. Univariate ARIMA Model
6. ARIMA & Its Applications
7. Autoregressive & Distributed Lag Model
8. Simultaneous Estimation Method
9. LPM, Logit and Probit Model
10. VAR, Error Correction Model
11. ARCH & GRACH Model
12. Panel Estimation Method (option)

Applications
 1. Basic of data handling

2. Unit-Roots Test

3. MV& ES Series

4. Multiplicative and Addittive Deseasonalized series

5. Double exponential smoothing and Holt-Winters Smoothing

6. ARIMA model of exchange rate: Yen; and  HK GDP

7. Seasonal ARIMA model; and another example HKGDP

8. Adaptive Expectations Model

9. Partial Adjustment Model

10. Polynomial Distributed Lag Model

11. Granger Causality Test

12. 2SLS Estimation

13. LPM, Logit, and Probit model

　

Useful Links
Start to use EVIEWS

Subject objectives: This course aims to introduce quantitative methods and techniques for time series modeling, analysis, and forecasting of economic and business data.  Topics include time series properties of fluctuation, cycle, seasonality, trend, unit roots tests for stationary.  Models such as autoregressive and distribution lags, moving average and exponential smoothing, ARIMA, VAR and Error Correction, ARCH and GARCH, Logit and Probit models will be discussed with both statistical theory and practical methods of model building and analysis.  Emphasis will also be put on the applications in economic and business related areas.  Computing is an integral part of this course, all students are required to do data analysis, modelling and forecasting with computer statistics software.

Pre-requisite: ECON 2170 Applied Econometrics or equivalence

Text Book:

  • Hanke, John e. and Dean W. Wichern, Business Forecasting, 9/e., Pearson International Edition, 2009.

References:

  1. Ben Vogelvang, Econometrics Theory and Applications with EViews, Prentice Hall, 2005
  2. Clements and Herny , Forecasting Economic Times Series, Cambridge, 1998.
  3. Diebold, Elements of Forecasting, South-Western, 3/edition, 2004.
  4. DeFranses, Time series models for business and economic forecasting, Cambridge, 1998.
  5. DeLurgio Forecasting Principles and Applications, McGraw-Hill, 1998.
  6. Gujarati, Basic Econometrics, 4/e., McGraw-Hill, 2002.
  7. Hall, Applied Economic Forecasting Techniques, Harvester-Wheatsheaf, 1994.
  8. Koop, Analysis of Economic Data, Wiley, 2000.
  9. Pindyck & Rubinfeld, Econometric Models & Economic Forecasts, 4/e., McGraw-Hill, 1998.
  10. Wallis, Time Series Analysis and Macroeconometric Modelling, Edward Elgar, 1995.
  11. Wilson, Holton J., Barry Keating and John Galt Solutions, Inc., Business Forecasting, McGraw-Hill, 2007.
  12. Wooldridge, Introductory Econometrics, South-Western, 2000.
  13. Verbeek,  A Guide to Modern Econometrics, Wiley, 2000.
    　



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