This course surveys a number of quantitative techniques commonly used to forecast business and economic variables. Emphasis will be on the applications of time series regression model using economic and financial data instead of theoretical aspects. Topics include smoothing techniques, regression and econometric analysis, Box-Jenkins time series, Volatility forecast- ing, and discrete decision and prediction model. At the end of the course, participants will be able to use these skills to produce a fully processed data set compatible for building powerful predictive models that can be deployed to increase profitability.
PREREQUISITE(S): GSB 420 or ECO 375 or equivalent is a prerequisite for this class. The example data will be from the typical website, such as yahoo.com or wsj.com, and public website such as FRED (Federal Reserver Economic Data) maintained by St. Louis Federal Reserve Bank. We will use currently available data from website and extract them into SAS program. This course will teach you higher level of SAS program skills as well as methodolo- gies to understand the time series process in economics and finance.
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