ECONOMIC FORECASTING

 

·       A New Concentration for the M.A. in Economics

·       A New Advanced Graduate Certificate (pending final approval)

 

 

Economic forecasting is a rapidly developing field with wide applicability in business and government. The increasing complexity of markets is fueling the demand for professionals who possess an understanding of the forecasting needs of organizations, the econometric tools to solve forecasting problems, and the necessary computer skills to generate optimal forecasts. Tools in economics, statistics, and mathematics allow economic forecasters to meet these growing needs of private businesses and government agencies.

 

The Department of Economics at The University at Albany plans to train professionals for these jobs by offering a new concentration in forecasting within the Masters of Arts program and also new a Certificate in Economic Forecasting. Our professional forecasting programs will train students to use state-of-the-art forecasting techniques in a multi-disciplinary environment.

 

M.A. in Economics with a Concentration in Forecasting

 

CURRICULUM:

 

The M.A. in Economics requires four core courses: Macroeconomics, Microeconomics, and two courses in Quantitative Methods (Statistics and Econometrics). Students in the forecasting concentration will take three required forecasting courses and an elective in a field in which forecasting is important. As capstone experiences, students in the concentration are also required to participate in an internship, where they receive practical forecasting training, and to undertake a research project as part of writing a master's essay or participating in a research seminar. The curriculum can be completed in a full calendar year, as outlined below, but students can also pursue the program over a longer time.

 

The curriculum for the M.A. program with the new concentration in economic forecasting is as follows. Each course yields three credits, and the M.A. degree requires thirty.

 

FALL

 

Eco 500: Microeconomics

Optimization models of the consumer and firm are used to study competitive and noncompetitive markets. Topics in welfare economics, the theory of market failure, tax incidence, and income distribution are discussed. Empirical research based on microeconomic models is reviewed.

 

Eco 501: Macroeconomics

Theories of national output, employment, and prices. Analysis of policies for stabilization and growth. Empirical research and applications are reviewed.

 

Eco 519: Economic Surveys and Forecasting

This course introduces the survey methodology in economics and business for forecasting purposes. Surveys include those of households, experts, and establishments. Topics include: Survey data and methodologies, evaluation of survey data and forecasts, use of survey data in time series modeling techniques for forecasting purposes. Discussion of such important macroeconomic indicators as the leading economic indicators, NAPM index, Diffusion Indices, Consumers sentiment, Price and Industrial Production indices, etc. will be included.

 

Eco 520: Quantitative Methods I

Introduction to quantitative methods in economics. Techniques of data analysis, statistical theory, and linear regression are applied to economic problems.

 

SPRING

 

Eco 521: Quantitative Methods II

Continuation of Eco 520. Econometric extensions of linear regression, forecasting, and methods of analyzing time-series and cross-section data.

 

Eco 525: Time Series and Forecasting

This course introduces univariate and multivariate time series models for forecasting in economics. Topics include ARIMA, VAR and GARCH models, unit roots and cointegration, out-of-sample forecasting techniques, model selection, response function analysis and variance decompositions, state space models, various non-linear models, Bayesian approaches and forecast evaluation. Use will be made of case studies and real-life applications in business and finance

 

Eco 529: Forecasting in the Public Sector

The course offers a comprehensive analysis of the role, importance, and mechanics of economic forecasting in the public sector including the Federal, State governments, and in international organizations like IMF, World Bank, and OECD. The quality of these forecasts in relation to private market forecasts will be explored. The importance of long-term and short-term forecasts for revenues, taxes, economic growth, Medicaid and Medicare expenditures, welfare caseloads, transportation, etc. will be studied from the standpoint of planning and budgetary purposes. The role of bias in these forecasts due to economic and political uncertainties, and other institutional factors are analyzed.

 

One Elective Course -

Suggested electives include; Economics of the Public Sector (Eco 530), Transportation Planning (Geog 563), Demography (Soc 551), Demographic Techniques (Soc 552), Financial Management (Fin 525), Marketing Management (Mkt 522), and Health Policy (Eco 511 or Hpm 511), and selections from other university departments with the approval from the advisor.

 

SUMMER

 

Eco 590: Internship in Forecasting

Experience in the application of forecasting techniques in government, business, or the nonprofit sector.

 

Eco 698: Master's Essay -

A research paper in economic forecasting. Pending approval, the Masters Essay may be replaced by a research paper completed for a spring-semester research seminar in economic forecasting.

 

HIGHLIGHTS:

 

• Public Sector Forecasting

Our location in the State Capital and the work experience of our faculty in Washington D.C. give us the incentive to develop public sector forecasting as the program's niche. The economics and politics of revenue forecasting, both at the state and the federal levels, the mechanics of Social Security Trust fund projections, traffic projections for roadways and public transit, projections for future welfare rolls, Medicare and Medicaid expenditures, applications for disability insurance programs, etc. all require the use of sophisticated forecasting principles. Forecasting in the public sector is very important and needs special skills. For the last few years, Federal Forecasters in Washington D.C. have been holding annual conferences. We know of no other program with a similar offering, making our program is unique in this respect.

 

• Research Seminar and Master's Essay

As a capstone experience a research seminar will run throughout the spring semester as a workshop meeting once a week. Students will present their research in the workshop, and many forecasting experts from outside (both academic and non-academic) will be invited to present their work and projects. This will give the M.A. students scope to interact with the practitioners of economic forecasting. Our Ph.D. students doing work in economic forecasting will also participate in these exchanges.

 

• Internship

An internship in a business or government agency will be an integral part of the program. We are placed well to find such internships given our location in the state capital. Many of our former M.A. and Ph.D. students hold jobs with state government agencies, including the Division of the Budget, Assembly Ways and Means Committee, Health Department, Department of Economic Development, Tax Department, and VA Health Care. Additionally, we have contacts in the private sector, including local bank headquarters, the Albany Center of Institutional Investment, General Electric, and Merrill Lynch. In addition we have contacts with the Federal Reserve Bank of New York and many businesses in New York City. In Washington D.C. we will be able to place interns in such organizations as the International Monetary Fund, the World Bank, Social Security Administration, and the Department of Transportation.

 

• Econometrics Research Institute

The Econometric Research Institute currently sponsors two major projects. One project is the development of a transportation index to be used as a leading economic indicator. The second project involves conducting two economic surveys to monitor the New York economy: a quarterly Blue Chip type survey of economic experts, and a bi-annual establishment survey (http://www.albany.edu/eri/). These surveys are sponsored by the New York State Division of the Budget, and they require the research assistance of large number of undergraduate and graduate students on a regular basis. Therefore, the Economics Department is a natural place for students in the program to get hands-on experience in conducting and analyzing business surveys.

 

Graduate Certificate in Economic Forecasting

 

In conjunction with the Econometric Research Institute, the Economics Department is planning a 15-Credit Certificate in Economic Forecasting. Students in the forecasting concentration of the M.A. program will also fulfill the requirements for this certificate. Additionally, we plan to offer the certificate to students in other fields, such as business or sociology, and to professionals who complete the required course of study. The Graduate Certificate in economic forecasting is designed to give intensive training in the techniques of economic forecasting used in private and public sectors without requiring all the coursework necessary for the M.A. degree.

 

The planned certificate will require 15 credits of course work, as follows:

 

Eco 519: Economic Surveys and Forecasting

Eco 520: Quantitative Methods I

Eco 521: Quantitative Methods II

Eco 525: Time Series and Forecasting

Eco 529: Forecasting in the Public Sector

 

Admission

 

MASTER OF ARTS IN ECONOMICS:

 

Applicants interested in the Economic Forecasting concentration of the M.A. program are expected to have completed at least the following courses: intermediate micro and macro economics, one course in calculus, and one course in statistics. Applicants should be sure to use the Statement of Background and Goals, which is part of the application, to explain their background and their reasons for concentrating in economic forecasting. GRE examinations are not required.

 

Applications are reviewed on a rolling basis. Interested students are encouraged to apply as soon as possible, while space is available.

 

Because of the sequencing of courses, applications for admission will be considered only for study to begin in September. For additional information on specific aspects of the program, a student can contact the Economics Department Office.

 

All applications for graduate programs in economics are handled through the Office of Graduate Studies at the University. General information about admissions procedures and applications can be found at the Graduate Admissions website: www.albany.edu/graduate/. Applications can be made online, and forms can be downloaded or requested from that website. Applications also may be requested by email (graduate@uamail.albany.edu) or by writing to: The Office of Graduate Admissions / University at Albany / 1400 Washington Ave. / Albany, NY 12222.

 

GRADUATE CERTIFICATE:

 

Admission to the Certificate Program is not yet available. Students admitted to the M.A. program may be admitted to the certificate program after they have begun their studies.

 

Tuition

 

Tuition at the University at Albany is very reasonable compared with comparable institutions. The current academic year graduate-level tuition for full time students who are residents of New York is $6,900 ($10,500 for non-residents). Tuition per credit is $288 for residents and $438 for non-residents. Financial aid from the University is normally not available for students in the master's program.

 

Faculty

 

The core faculty associated with the program are four current members of the Economics Department plus one new member who is expected to join the department in Fall 2004. In teaching the courses designated for the certificate, these faculty will be joined by outside economists who are experts in forecasting. In addition, a number of faculty from other departments at the University are affiliated with the forecasting programs.

 

Professor Kajal Lahiri (http://www.albany.edu/~klahiri/), an internationally recognized forecasting expert, has agreed to spearhead the departmental effort to set up the certificate program and teach some of the core forecasting courses.

 

CORE FACULTY:

 

Kajal Lahiri is Professor of Economics and Health Policy Management & Behavior, and he is the Director of the Econometric Research Institute. He has been at the university since 1976 and has supervised over 35 doctoral dissertations. Dr. Lahiri is on the editorial boards of the Journal of Econometrics, the International Journal of Forecasting, Empirical Economics, and Journal of Business Cycle Measurement and Analysis, and is the author of numerous articles and books dealing with forecasting. He has extensive research experience with the IMF, the World Bank, the Social Security Administration, and the U.S. Department of Transportation.

 

Terrence Kinal is Professor of Economics and Associate Director of the Econometric Research Institute. He has published many papers on econometric analysis and forecasting and has extensive consulting experience. His research interests include regional forecasting and properties of econometric estimators.

 

Thad Mirer is Associate Professor of Economics. He is the author of Economic Statistics and Econometrics, which covers these subjects at an introductory level. His empirical research has been in the areas of labor economics and the distribution of income, and he is currently interested in Social Security and the behavior of retired persons.

 

Jae-Young Kim is Associate Professor of Economics. He is a well-known time series econometrician whose recent work has dealt with problems of structural breaks in non-stationary variables and of model selection. He has experience working with multi-country data on foreign trade flows with special reference to East Asian countries.

 

AFFILIATED PROFESSIONALS:

 

Donald J. Boyd, Ph.D., is the director of the Fiscal Studies Program at the Rockefeller Institute of Government, the public policy research arm of the State University of New York. The Fiscal Studies Program provides practical independent research about state and local government finances in the 50 states. His past positions include Director of the economic and revenue staff for the New York State Assembly Ways and Means Committee.

 

Denis Kwiatkowski, Ph.D., is Senior Fiscal Policy Analyst, New York State Division of the Budget. He developed the so-called "KPSS test," a widely used statistic for testing the null of stationarity in time series. He has taught monetary policy, econometrics, and time series at Central Michigan University and Fordham University.

 

Robert L. Megna, M.S., is the head of the Economic and Revenue Unit of the New York State Division of the Budget. He has been leading groups forecasting State revenues for 15 years and has written articles on forecasting and state tax policy. He is responsible for revenue projections used in the State Budget and heads the team that develops and monitors the revenue side of the State Financial Plan. Mr. Megna also worked as an economist for AT&T, forecasting telecommunications demand.

 

Qiang Xu, Ph.D., is Chief Econometrician & Director of Research, New York State Division of the Budget. Among his responsibilities is to forecast national and state economic conditions for use in the Executive Budget process and to promote development of the State's economy. He also advises the Division of Budget staff in regard to the formulation and risks underlying the State's revenue forecast. His research interests are in Time Series Analysis, Macroeconomic Modeling, and Forecasting.

 

AFFILIATED FACULTY:

 

Rita Biswas is Associate Professor of Finance and Chair, Department of Finance.  Her primary teaching areas are international finance, financial markets and institutions, financial management and advanced corporate finance topics. Her most recent publication titled, "An Application of Multi-objective Evolutionary Algorithms to the Risk-Return Tradeoff in Bank Loan Portfolio Management," has been published in International Transactions in Operations Research.

 

Glenn Deane is Associate Professor of Sociology and Associate Director of the Lewis Mumford Center for Comparative Urban and Regional Research. Deane's demographic interests are in the areas of multiple race identifications, population and environment, spatial processes, and historical demography.  He is also interested in research methodology, including error dependence, missing value imputation, spatial lags, and methods for pooled cross-sectional analysis.

 

Nancy A. Denton is Associate Professor of Sociology and Associate Director of the Center for Social and Demographic Analysis at the State University of New York at Albany.  Her major research interests are race and residential segregation, and she is the author of numerous articles on the topic.  Together with Douglas S. Massey she is the author of American Apartheid:  Segregation and the Making of the Underclass, winner of the 1995 American Sociological Association Distinguished Publication Award and the 1994 Otis Dudley Duncan award from the Sociology of Population section of the American Sociological Association.

 

Diane Dewar is Associate Professor in the Department of Health Policy, Management and Behavior, and in the Department of Economics. Her research focuses on how public policy shapes the organization and financing of health services, and how the decisions by persons and providers about health utilization are then influenced by these policy changes. Currently, most of her work concerns the impacts of changes in reimbursement systems. She has received research funding from sources such as the Agency for Healthcare Research and Quality, the Robert Wood Johnson Foundation, and the Centers for Disease Control and Prevention.