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Euro Area Business Cycle Network Training School
Banco de Portugal, Lisbon
10-14th September 2007
General Description
The sixth EABCN training school was a five-day course on “Forecast Evaluation and Related Topics in Applied Time Series” taught by Professor Kenneth D. West (University of Wisconsin-Madison). In particular, the topics covered were:
- Forecast Evaluation
- Review of standard results
- Comparison of a small number of non-nested models: Diebold / Mariano / West (DMW) statistic; asymptotic irrelevance
- Comparison of a small number of nested models
- Comparison of a large number of models
- Present value models and random walks
- Interpretation of data from present values models when the discount factor is near one
- Using panels to estimate and forecast.
The course consisted of five days lectures and practical classes, with the objective of introducing the participants to the topics and enabling them to extend and apply the econometric tools and methods taught. Class notes and codes were made available before the beginning of the course.
The course was primarily aimed at participants in the Euro Area Business Cycle Network but applications were also considered from doctoral students and post-doctoral researchers and economists working for commercial organisations (for which a fee was charged).
EABCN and CEPR gratefully acknowledge the generous provision of facilities by the Banco de Portugal for this course.
About the instructor
Kenneth West is the Ragnar Frisch Professor of Economics at the University of Wisconsin-Madison. He received a B.A. in Economics and Mathematics from Wesleyan University in 1973 and a Ph.D. in Economics from the Massachusetts Institute of Technology in 1983. He taught at Princeton University from 1983 to 1988 before coming to the University of Wisconsin in 1988. He has held Visiting Scholar positions at several central banks and at several branches of the U.S. Federal Reserve System. He is currently co-editor of the Journal of Money, Credit and Banking and previously served as co-editor of the American Economic Review. He has published widely in the fields of macroeconomics, finance, international economics and econometrics. Honors include the John M. Stauffer National Fellowship in Public Policy at the Hoover Institution, Alfred P. Sloan Research Fellowship, Fellow of the Econometric Society, and Abe Fellowship.