Instructor:
Stephen Fagan
Class Location: WMC-2506
Class Time:
Mondays 11:30AM - 2:20PM and Wednesdays 9:30AM - 11:20AM
Office hours: Monday 2:30 - 3:20 and Wednesday 11:30 - 12:20 in
WMC-4667
Homework
- Some practice from the Stats Review.
- By Jan 19, be able to program solutions for questions 3.1 and 3.2 from The Basics of
S-Plus.
- By Jan 21, read Chapter 3 of The Fortune Sellers.
- By Jan 26, read Armstrong's Principles 1, 2, 3, and 4.
- By Jan 28, read Armstrong's Principles 5, 6, 7, and 8.
- By Feb 2, review notes on trends and be able to plot time series and lines.
- By Feb 4, read Armstrong's Principles 10, 12, 14, and 15.
Announcements
- Course
Outline.
- Grading:
| Assignments: |
15% |
| Midterm: |
15% |
| Term Project: |
30% |
| Forecasting Audit: |
10% |
| Lab Exam: |
20% |
| Participation & Presentation: |
10% |
- Important Dates:
| First Class: |
Monday, January 5, 2009 |
| Last Day to Drop (no notation on
transcript): |
Friday, January 23, 2009 |
| Last Day to Drop (WD on
transcript): |
Friday, February 6, 2009 |
| Midterm Exam: |
Monday, February 9 |
| Reading Break: |
Monday, February 16 - NO CLASS |
| Term Project Submission Deadline: |
Monday, March 16 |
| Forecasting Audit Submission
Deadline: |
Monday, March 30 |
| Project and Audit Presentations: |
Monday, March 30 |
| Lab Exam: |
Monday, April 6 |
Weekly Schedule and Readings (subject to change)
|
|
Monday
11:30 -
2:30
(Lecture and
Computer Lab)
|
Wednesday
9:30 -
11:30
(Reading Discussion & Group
Work)
|
|
Week 1
|
Jan 5
- Class
Cancelled Due to Weather
|
Jan 7
|
|
Week 2
|
Jan 12
- Course
Overview
- Introduction
to Forecasting
- S-Plus
Lab
|
Jan 14
- Statistics
Review
- Group
Work
|
|
Week 3
|
Jan 19
- Forecasting
Basics
- Statistical
Graphics
- Trends
- S-Plus
Lab
|
Jan 21
- William
Sherden, The Fortune Sellers, Chapter 3, .The Dismal
Science.
- Armstrong.s
Principles 1,2,3,4
- Group
Work
|
|
Week 4
|
Jan 26
|
Jan 28
- Armstrong.s
Principles 5,6,7,9
- Group
Work
|
|
Week 5
|
Feb 2
- Trends and Seasonality
- S-Plus
Lab
|
Feb 4
- Armstrong.s
Principles 10,12,14,15
- Group
Work
|
|
Week 6
|
Feb 9
- MIDTERM
EXAM
- Assignment
of Term Projects
|
Feb 11
|
|
Week 7
|
Feb 16
- No
Class Today - Reading
Break
|
Feb 18
|
|
Week 8
|
Feb 23
- AR,
MA and ARMA Models
- S-Plus
Lab
|
Feb 25
- Forecasting
Cycles
- Group
Work
|
|
Week 9
|
Mar 2
- Putting
It All Together
- S-Plus
Lab
|
Mar 4
- Regression
Models
- Group
Work
|
|
Week 10
|
Mar 9
- Evaluation
& Combination of Forecasts
- S-Plus
Lab
|
Mar 11
- Armstrong.s
Principle 13
- Group
Work
|
|
Week 11
|
Mar 16
- S-Plus
Lab
- Assignment
of Audit Projects
|
Mar 18
- Advanced
Topics
- Group
Work
|
|
Week 12
|
Mar 23
- Term Projects Due
- Forecast Evaluation
- S-Plus
Lab
- Group Work
|
Mar 25
|
|
Week 13
|
Mar 30
- PROJECT AND AUDIT
PRESENTATIONS
|
Apr 1
|
|
Week 14
|
Apr 6
|
|
S-Plus Software
The S-Plus program is used extensively throughout this course. You can
download a copy of the program here for you own
personal computer. Be sure to install the FinMetrics module as well.
Eric Zivot maintains a good list of S-Plus Resources
that you may find helpful.
Data Sets and Scripts
The data and scripts that are used in the S-Plus labs are posted here:
Texts & Links
There is no official text for the course, however the lecture component
of the course will closely follow Elements of Forecasting by
Francis Diebold. For the other course components we will read selected
book chapters and papers.
- Diebold, Francis (2007), Elements of Forecasting
- Granger, C.W.J. (1989), Forecasting in Business and Economics
- Sherden, William (1998), The Fortune Sellers
- Huff, Darrell (1954), How to Lie with Statistics
- Armstrong, J. Scott (2001), Standards
and Practices for Forecasting
- Krause, Andreas (2005), The
basics of S-Plus
- Diebold, Francis (1998), The
Past, Present and Future of Macroeconomic Forecasting
Some useful and entertaining websites are listed below:
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