Forecasting Models

  • Credits: 6
  • Ending: Examination
  • Range: 2P + 2C
  • Semester: summer
  • Year: 2
  • Faculty of Economic Informatics

Teachers

Included in study programs

Data Science in Economics

Teaching results

Upon successful completion of this course, students will have knowledge of prognostic methods and models and should be able to use these procedures for different types of time series.
Students will gain practical skills and competencies with the application of forecasting methods used in economic variables using software R and Python.

Indicative content

1. Basic concepts, evaluation measures, information set, loss function, optimal forecast.
2. Decomposition and smoothing of time series.
3. Moving averages and trend models.
4. Forecasting using exponential smoothing models.
5. Box-Jenkins methodology of ARIMA models – detection, estimation, and forecasting.
6. Box-Jenkins methodology of SARIMA models – detection, estimation, and forecasting.
7. Regression models. Forecasting using an econometric model.
8. Dynamic regression models.
9. Vector autoregressive models.
10. Volatility forecasting.
11. Nonlinear models, threshold autoregressive models (TAR).
12. Advanced prognostic models. Intervention analysis, neural networks.
13. Combined forecasts.

Support literature

1. Hyndman, R.J., Athanasopoulos, G.: Forecasting: principles and practice. 3rd ed. OTexts, 2021.
2. Gonzale-Rivera, G.: Forecasting for Economics and Business. Addison Wesley, 2013.
3. Diebold, X.: Forecasting in Economics, Business, Finance and Beyond, University of Pennsylvania, 2017.
4. Shmueli, G., Lichtendahl, K.C.: Practical Time Series Forecasting with R: A Hands-On Guide, 2nd ed. Axelrod Schnall Publishers, 2016.
5. Carnot, N., Koen, V., Tissot, B.: Economic Forecasting. Palgrave Macmillan, 2005.

Requirements to complete the course

project for the final exam 60%
final exam 40%

Student workload

student workload: 156 h, participation in lectures 26 h, participation in seminars 26 h,
elaboration of a semester project 62 h, preparation for the final exam 42 h

Language whose command is required to complete the course

Slovak, English

Date of approval: 10.02.2023

Date of the latest change: 16.05.2022