Topics in Applied Time Series and Forecasting

Euro Area Business Cycle Network Training School

Banca D’Italia, Rome
7-11th November 2005

Deadline 30th August 2005

General Description

The third EABCN training school was five-day course on “Topics in applied time series and forecasting”.

Professor Mark W. Watson, from Princeton University, instructed the course.

The course consisted of five days lectures (approximately 6 hours per day). The objective was to introduce the students to the topic and enable them to apply the methods to empirical data. For each topic, there have been lecturing and applications on the computer. Class notes and codes will be made available before the beginning of the course.

The following topics were covered.

1. Business cycle descriptive statistics in the time and frequency domain.
2. Detecting and modeling parameter Instability
3. Unit Roots in Autoregressions
4. Filtering, State Space Models and the Kalman Filter
5. Forecasting using a large number of variable

Course Material 

• Topic 1: Linear Filters and Descriptive Statistics Lecture notes
• Topic 5: Forecasting basics – notation and population result lecture notes
• Exercises
• Solutions to the Exercises (zip file)

About the instructor

Mark Watson is a Professor of Economics and Public Affairs at Princeton University and a research associate at the National Bureau of Economic Research. His research focuses on time-series econometrics, empirical macroeconomics, and macroeconomic forecasting. He has published over sixty scientific articles in these areas and is the author (with James Stock) of Introduction to Econometrics, a leading undergraduate textbook. Watson has served on the editorial board of several journals including the American Economic Review, Applied Econometrics, Econometrica, the Journal of Business and Economic Statistics, the Journal of Monetary Economics, and Macroeconomic Dynamics. He has served as a consultant for the Federal Reserve Banks of Chicago and Richmond. Before coming to Princeton, Watson served on the economics faculty at Harvard and Northwestern. Watson did his undergraduate work at Pierce Junior College and California State University at Northridge, and completed his Ph.D. at the University of California at San Diego.