EC665 A – Forecasting, Time Series Analysis and Survey Design – Winter 2021
Last updated: January 10, 2021
Instructor: Dr. Edda Claus
Office: Lazaridis Hall, LH3012
Email: eclaus@wlu.ca
Office hours: By appointment
Class schedule: Mon, 8:30 – 11:20am
Class location: Zoom
Contact: I will be available on Zoom Tue to Fri 10.30am to 11am,
except on days of job market seminars (dates are posted).
Only email me (via MyLS) if it is absolutely necessary.
Course Web: mylearningspace.wlu.ca (Monitor regularly for updates! )
Instructional Assistant: We are lucky to have Ziqiu Zhu to help with EViews
and Stata. (Details to follow.)
Calendar Description
The use in business of time series analysis, economic forecasting and survey methods.
Course Objective
Some M.A. level texts may be too advanced for some graduate students who are primarily
interested in becoming practitioners in the field. Most M.A. students mainly undertake
applied econometrics type projects in more advanced studies or in their professional lives.
What is needed is a course that provides an appreciation of the intuition and rationale behind
the use and appropriateness of various econometric techniques for some phenomenon being
studied. This aspect is stressed in the course although a grounding in some of the technical
aspects is also essential. In attempting to straddle both demands there is a recommended
text as well as supplementary material.
Course Evaluation
Assignment 1 15 Mar 2021 at 4.59pm 20%
Group of 2 students formed by 25 Jan 2021
Assignment 2 14 Apr 2021 at 4.59pm 35%
Same group as Assignment 1
Assignment 2 Presentation 29 Mar 2021 10%
Same group as Assignment 1
Upload presentation on MyLS by 28 Mar at 4.59pm
Take home exam Posted, Tue 6 Apr 2021 at 8.30am 35%
Due 9 Apr 2021 4.59pm
Textbook
• Required textbook: W. Enders (2015), Applied Econometric Time Series (New York:
John Wiley and Sons);
• allfiles.zip has datasets used in the text (not all are required for the assignments).
• Textbook data website.
• We will cover:
1. Chapter 2 Stationary time series models ;
2. Chapter 4 Models with trend ;
3. Chapter 5 Multiequation time series models ;
4. Chapter 6 Cointegration and error-correction models ;
5. Chapter 3 Modelling volatility.
• The final exam will conver only what was discussed in class.
• Note: Digital textbook access has been arranged with the bookstore. From the book-
store: “The most important thing for you to stress to your students (from our experi-
ence in the Bookstore) is that if they dont want to retain use of the digital resources
(including the adaptive learning tools such as MyLab, Mastering, etc) they must read
their student emails for instructions on opting out to ensure they opt out by the opt
out deadline. If they dont opt out by mid-January (approximate date), their LORIS
account will be billed for the resources in late January. Students should be aware
that if they opt out of the digital resources they lose access to both the e-book and
the adaptive learning tools. For the majority of courses there is a loose-leaf print op-
tion available for students to purchase following the opt out deadline. If they remain
opted into the DTA program and would like to purchase a loose-leaf print copy of the
resources they can do so at the Textbook Customer Service Desk.”
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Software
You are free to use any of the following software programs to do the empirical work required
in the course: R, Stata, EViews, RATS, GAUSS. I will use EViews in class to demonstrate
certain results. However, if you are familiar with Stata (or R) then you should have little
difficulty using EViews (which can also accommodate the use of R, for example, as an add-on,
and can read in Stata data files). There will be separate consultation for EViews provided
by Ziqiu Zhu, our IA.
There is a free version as well as a student version (US$49.95) available online at:
http://www.eviews.com/EViews11/EViews11Univ/evuniv11.html. Please follow the link to
see the differences between the free and student versions.
Eviews version 11 is available in all computer labs and accessed through the “apps anywhere”
(except, I am told, in the labs in LH). The location of the labs on campus can be found at
https://students.wlu.ca/services-and-spaces/tech-services/computer-labs.html.
Data
Other data sources may be helpful for the assignments. They are:
1. Bank for International Settlements (CPI, exchange rates, policy rates, property prices,
credit indicators). Data are daily to annual.
2. OECD. A wider variety of socio-economic indicators at the monthly and quarterly
frequencies for OECD member countries.
3. International Monetary Fund World Economic Outlook Database. Annual macroeco-
nomic and financial data for over 100 countries.
4. Federal Reserve Economic Data (FRED). Huge repository of economic and financial
data from around the world. Data are from daily to annual.
5. Jorda`-Schularik-Taylor Macrohistory Database: Annual data since 1870 useful, for
example, to update the unit root results that will be examine and replicated in class
or in the first assignment.
6. Datastream (from Library terminal).
7. Bloomberg (from Library terminal).
Assignment
All assignments are to be done in groups of 2. Exceptionally, I will allow 3 individuals to
form a group but the amount of work produced is expected to be more substantial than
when the group consists of 2 students (details to be provided upon selection of the topic
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for each assignment and will be communicated to the group via MyLS). Groups must be
formed by the 3rd lecture (Monday, 25 January 2020) via a sign-up sheet on MyLS.
Failure to meet the deadline in forming groups will lead to a penalty (see below). Marks will
be divided equally between all members of a group. The presentation must not exceed 10
minutes.
Assignment 1 - Replication Exercise
There are three parts to this exercise:
1. Provide a summary of the original paper being replicated. ONE page, MAX;
2. Replicate the Tables and Figures listed below for each chosen paper as best as you can.
Provide a brief statement about why your results might differ from the published ones
(1
2
page, MAX);
3. Extend the original data set to the present, re-estimate, and comment on the changes
in the results and whether, in light of more recent developments, you would have
estimated the original results differently while using the same test(s) as in the original
paper. 2 pages, MAX.
Guidelines for Assignment 1
• All written material double-spaced;
• Tables, figures and any screen shots must be included in the same electronic file. These
are NOT included in the page MAX.
• Data, program and output files must be included in the Dropbox submission.
• If no programs are written then information about command used must be provided
(as an appendix to the assignment if you wish).
• The original papers and raw data sets can be found on MyLS in the folder ’Assignment
1 Papers and Data’;
• No group can replicate the same paper until all the papers have been selected.
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Paper What is to be replicated?
Nelson and Plosser (1982) From Enders’ text: Tables 4.1 & 4.3, and Figure 4.4; From
the article: Tables 2 to 5. Choose a maximum of 10 series.
Enders (1988) From Enders’ text: Figure 4.7 & Table 4.4; From the article:
Tables 1 and 3. Note: (1) You can only replicate with data
provided as some original complete series are not available; (2)
You can use CPI instead of WPI; (3) you can ignore SD/SEE
and DW test results.
Sims (1980) Appendix II in Sims (1980) for U.S. data only. The data
are not the original series but ones as close to the original as
possible.
Stock and Watson (2001) From the paper, Table 1 & Figures 1 and 2.
Enders and Holt (2012) From Enders’ text: Figure 5.9; From the article: Figure 1
(except fat & oils) & Tables 1 and 2 (use Perron test shown in
class only; generate for at most 5 commodities. Ignore Fourier
and SlowShift columns). Not all original data were published.
Some commodity price data will have to be collected (best
source: IMF). Notes: (1) Use KPSS test instead of BEL test;
(2) use the Perron test (not Bai-Perron) since exact replication
will not be possible.
Enders and Lee (1997) From Enders’ text: results shown in Chapter 5, section 14;
From the article: Figures 1 & 2, and Tables 1,2,3, and 5.
Notes: (1) Use UK, not German data because reunification
makes subsequent data not comparable; (2) raw data are quar-
terly and not monthly as in the published article.
Blanchard and Quah (1989) Figures 1 to 6, and Tables 2, 2A, 2B, 2C. Note that confidence
intervals via MC are OK as EViews does not generate exactly
the same kinds of IRFs as in the original article.
Kwiatkowski, Phillips,
Schmidt, and Shin (1992)
Table 5, any 10 series. Note that the data are the same as the
one used in Nelson and Plosser. Also, apply the KPSS test to
Figure 4.7 & Table 4.4 from Enders’ text.
King, Plosser, Stock, and
Watson (1991)
Figure 1, Table 1 (Jτ statistic only, estimates of αˆ1, αˆ2 only),
Tables 2 and 4. Use OLS and obtain only the Jtau statistics.
Note that the raw interest rate data are missing from the
original file. These can be easily downloaded from FRED
(these data are not revised).
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Assignment 2 - Time Series Study
Using the methods discussed in class from any topic provide a short time series study for a
problem you are interested in.
The following parts must be presented and reported:
1. Motivation (usually based on an article or published paper that you found interesting
or the area of research that interests you). Using point form is not acceptable;
2. Build the data base for the study. Be sure to provide proper sources and data related
information;
3. Estimates and summary of results. This can be in point form for the description but
tables and figures showing the main results are essential.
4. The chosen study cannot be related to the replication exercise done in Assignment 1.
5. You need to justify briefly your contribution. This can range from a substantial length-
ening of a data set to an improved methodology.
Guidelines for Assignment 2
• Maximum of 5 pages in length, double-spaced;
• Tables, figures and any screen shots must be included in the same electronic file. These
are NOT included in the page MAX;
• Data, program and output files must be included in the Dropbox submission.
• Your work must be inspired by a peer reviewed publication. YOU NEED TO CLEAR
THE CHOSEN ARTICLE BEFORE PROCEEDING WITH THE ASSIGNMENT.
Devote 1
2
page to provide a summary (counts towards the 5 page limit - see (above)).
Presentation
You are required to present your Assignment 2. Your presentation is worth 10% of your
grade. The presentation has to be submitted through MyLearningSpace by 28 March 2021,
4.59pm. No late submissions will be accepted.
• Failure to submit your presentation on Dropbox: 5 percentage point grade reduction;
• Failure to present without notifying the instructor results in a grade of zero;
• In case of illness, the presenter has to notify the instructor at least 2 hour prior to
the presentation;
• All missed presentations will be re-scheduled.
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Assignment 2 presentation performance dimensions:
1. Speaking Technique
• Student uses effective volume.
• Student does not read.
• Student uses effective intonation.
• Student uses appropriate/effective eye contact.
• Student uses limited filler words.
• Student uses technical terms correctly.
• Student has no distracting mannerisms.
2. Communication Aids
• Student uses visually appealing aids.
• Student uses effective font size.
• Student does not use full paragraphs.
• Student uses appropriate level of details.
• Student organizes the content effectively.
3. Questions
• Student clarifies questions as needed.
• Student answers the questions asked.
• Student summarizes content as needed.
4. Organization
• Student delivers information at the appropriate level for the audience.
• Student uses a logical structure in delivering information.
• Student clearly states the purpose of the presentation.
5. Professionalism
• Student meets time constraints.
• Student covers the required elements.
• Student is dressed appropriately.
• Student addresses previous comments on presentation technique.
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Late Penalties For All Written Work
Written submissions at due at 4:59pm on the assigned date. For each 24-hour period (or
part-there-of) after the due date and time, your grade will be reduced by 20 percentage point.
For example, if you hand in your written submission 30 hours late, your written submission
cannot receive a grade higher than 60% of the total (100% minus 2×20 percentage points).
Submissions handed in more than 5 days (120 hours) late, will automatically receive a grade
of 0 (100% minus 5×20 percentage points).
In addition:
• Assignments that fail to meet the guidelines (see above): 10% of the grade;
• Failure to form a group by the deadline (see above): 5% of grade. Applies to all
students that have not formed groups;
• Failure to attend consultations: 1%. This penalty applies to ALL members of a group.
Exceptions may be on a case by case basis.
Counselling Services, Peer Help Line, and the Student Food Bank
Your responsibilities
Please familiarise yourself with the University Undergraduate Degree Level of Expectations
(UUDLE). A copy is on MyLearningSpace in the folder Course outline and lecture notes.
Please read the Non-Academic Student Code of Conduct carefully.
See Non-Academic Student Code of Conduct.
I will not tolerate abusive language and/or abusive behavior in class or during
office hours. I will report problematic, disruptive, or anti-social behavior to
the Behavioral Intervention Team (BIT).
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Academic Integrity/Misconduct (Policy 12.2)
Please read the Student Code of Conduct and Discipline carefully.
See Student Code of Conduct and Discipline.
If I suspect you have engaged in Academic Misconduct, I will file an Allegation of Academic
Misconduct. “I didnt know that was cheating” will never be an acceptable excuse.
Wilfrid Laurier University uses software that can check for plagiarism. Stu-
dents are required to submit their written work in electronic form and have it
checked for plagiarism.
Privacy
The following measures have been put in place to balance the requirements of the course
with the need to protect personal information:
1. Exams and assignments will only be released to the student who submitted them. If a
student is uncomfortable with his or her name being called in class, he or she should
contact the instructor the day before the assignment is to be returned.
2. Marks will only be released through MyLearningSpace.
3. The individual circumstances or performance of a student will not be discussed before,
during or after class. A student wanting to review his or her performance or discuss
personal circumstances affecting his or her performance should make an appointment
to speak to the instructor in private during Office Hours. If a student chooses to discuss
his or her performance before, during, or after class, he or she will be deemed to have
waived her right to privacy.
4. Class participation is a vital component of this course. This may involve the use of
class lists, name tags, posting on MyLearningSpace bulletin boards, chat rooms, in
class discussion etc. If a student is uncomfortable with his or her name being disclosed
in these formats, he or she should bring this matter to the attention of the instructor
during the first week of classes so that alternate arrangements can be made.
5. Student email will only be responded to if it is from the students WLU account.
Students should not contact the instructor from any other email.
6. If a student is concerned or needs to make special arrangements to accommodate
specific privacy issues, he or she must bring these matters to the attention of the
instructor within the first week of classes so that reasonable accommodations be carried
out; alternatively, the student can select another course.
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Intellectual Property
The educational materials developed for this course, including, but not limited to, lecture
notes and slides, handout materials, examinations and assignments, and any materials posted
to MyLearningSpace, are the intellectual property of the course instructor. These materials
have been developed for student use only and they are not intended for wider dissemination
and/or communication outside of a given course. Posting or providing unauthorized audio,
video, or textual material of lecture content to third-party websites violates an instructors
intellectual property rights, and the Canadian Copyright Act.
Recording lectures in any way is prohibited in this course unless specific permission has been
granted by the instructor. Failure to follow these instructions may be in contravention of the
universitys Code of Student Conduct and/or Code of Academic Conduct, and will result in
appropriate penalties. Participation in this course constitutes an agreement by all parties to
abide by the relevant University Policies, and to respect the intellectual property of others
during and after their association with Wilfrid Laurier University.
If a student from this course shares any course material with a third party
without my explicit consent, I will stop posting material on MyLearningSpace.
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