Predictive Modeling

  • Type: Lecture
  • : Master
  • Chair: Applied Econometrics
  • Semester: SS 2022
  • Place:

    11.40 Raum 221/Kollegiengebäude am Ehrenhof

  • Time:

    Wed 20.04.2022 - 27.07.2022
    09:45 - 11:15, weekly

  • Lecturer:

    TT-Prof. Dr. Fabian Krüger

  • SWS: 2
  • Lv-No.: 2521311
  • Information: Präsenz/Online gemischt
Contents

Contents
This course presents methods for making and evaluating statistical predictions based on data. We consider various types of predictions (mean, probability, quantile, and full distribution), all of which are practically relevant. In each case, we discuss selected modeling approaches and their implementation using R software. We consider various economic case studies. Furthermore, we present methods for absolute evaluation (assessing whether a given model is compatible with the data) and relative evaluation (comparing the predictive performance of alternative models).

Learning objectives
Students have a good conceptual understanding of statistical prediction methods. They are able to implement these methods using statistical software, and can assess which method is suitable in a given situation.

Prerequisites
Students should know econometrics on the level of the course `Applied Econometrics' [2520020]

Language English
Recommended
Literature
  • Elliott, G., und A. Timmermann (Hrsg.): "Handbook of Economic Forecasting", vol. 2A and 2B, 2013.
  • Gneiting, T., und M. Katzfuss: "Probabilistic Forecasting", Annual Review of Statistics and Its Application 1, 125-151, 2014.
  • Hastie, T., Tibshirani, R., and J. Friedman: "The Elements of Statistical Learning", 2. Ausgabe, Springer, 2009.
  • Further literature will be presented in the lecture.