The lectures provide an applied presentation of standard forecasting models which are typically employed in policymaking institutions to forecast macroeconomic time series. Lectures are followed by practical sessions with hands-on computational exercises on MATLAB software.
Get the Syllabus
Dauphine provides a free licence for students
. Please use your own laptop if you can with MATLAB installed. Please have Datafeed, Optimization and Econometrics toolboxes installed. You will need to tick them in the package list during the installation of MATLAB.
Real time macro-data on MATLAB
DBnomics.pdf a small guide to use DBnomics on MATLAB.
call_dbnomics.m MATLAB function to query DBnomics.
This is a must-read as all of the lectures will rely on DBnomics. The latter is a database aggregator which can be queried directly from MATLAB. Please read carefully this following note on DBnomics and download as well the MATLAB function which allows to get real time macro data:
Introduction to MATLAB programming
This introduction should take no more of four hours of in class teaching.
Toy models list
Here is the list of available models that are necessary for your examination. You will need to use one these toy models, and compare its forecasting hability with a benchmark VAR and AR models.