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This course provides an introduction to forecasting methods of current interest in economics. The goal is to equip students with a working knowledge of state-of-the-art techniques that are useful for forecasting macroeconomic variables. The strengths and weaknesses of the techniques will be analyzed and their empirical relevance will be demonstrated through a variety of applications to real data sets. The topics will include univariate prediction models, vector autoregressions, forecasting with large data sets, forecast combinations and forecast evaluation. Particular emphasis will be placed on applications and the issues involved with implementation of the various methods in practice.

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