University at Albany – State University of New York
College of Arts and Sciences
Department of Economics
Advanced Certificate in Economic Forecasting
Proposed starting date: Fall 2004
I. Introduction and Rationale
The Department of Economics is proposing the introduction of an Advanced
Certificate (Graduate Certificate) in Economic Forecasting beginning the fall
semester of 2004. Forecasting is a rapidly developing field with wide applicability
in business and the public sector. The proposed Certificate has been designed to
attract local, national, and international students and professionals interested in
obtaining formal training in the current methods and practices in economic
forecasting. The Certificate builds on the Economics Department’s historical
strength in econometric forecasting and on its unique relationship with numerous
New York State and Federal agencies and with private business organizations that
are actively engaged in the emerging field of economic forecasting.
The courses required for the Certificate all apply to the M.A. program in
Economics. They may be taken on an elective basis by students in the Ph.D.
program in Economics or in other graduate programs, including business,
sociology, and public administration.
Commitment to Continuing Professional Development
For more than 30 years the Economics Department at the University at Albany
has been committed to training professional economists through its M.A. and
Ph.D. programs. However, in a changing work environment, the focus of our
graduate programs must also change in order to adapt to new realities. Businesses
need forecasts for sales, earnings, stock prices, and so on; governments at the state
and federal levels need projections for revenues, unemployment, expenditures,
welfare rolls, traffic, and the like for planning and budgetary purposes.
As organizations have become increasingly more complex, the need for
professionals engaged in scientific forecasting has rapidly increased in recent
years. There are now a number of professional journals (International Journal of
Forecasting, Journal of Forecasting, etc.) that deal with economic forecasting,
and a professional society – the International Institute of Forecasters – coordinates
such activities. For the last 13 years, Washington D.C. has hosted an Annual
Federal Forecasters’ conference with hundreds of attendees.
A Ph.D. is not necessary for most of these forecasting jobs. We believe that we
can train professionals to use state-of-the-art forecasting techniques in a Graduate
Certificate program.
Using funding from the New York State Division of Budget, the Econometric
Research Institute – a research arm of the Economics department – has been
conducting surveys of business firms and economic professionals since 2000. The
main purpose of these surveys is to monitor the economic health the New York
economy in real time, and the results are used in New York State revenue
forecasting process. The Econometric Research Institute will be a “natural lab”
for the forecasting students.
II. Curriculum
The Graduate Certificate in Economic Forecasting requires five courses (15
credits). Students who are admitted to M.A. program, in addition to the
Certificate program, can have these courses applied toward the requirements for
the M.A. degree. The courses carry three credits each:
Eco 519: Economic Surveys and Forecasting (3)
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 (3)
Introduction to quantitative methods in economics. Techniques of data analysis,
statistical theory, and linear regression are applied to economic problems.
Eco 521: Quantitative Methods II (3)
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 (3)
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.
2
Eco 529: Forecasting in the Public Sector (3)
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.
III. 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.
Faculty Vita are in the Appendix.
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
3
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 for
promoting 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.
Faculty Course responsibilities:
Even though the forecasting faculty will teach different courses in different years
depending on availability and other responsibilities, and sometimes courses will
be taught jointly, the above-mentioned faculty members have agreed to take
responsibilities of specific forecasting courses in the following way:
Eco 519: Economic Surveys and Forecasting (Dr. Lahiri, Dr. Xu)
Eco 520: Quantitative Methods I (Dr. Mirer, Dr. Kim)
Eco 521: Quantitative Methods II (Dr. Kwiatkowski, Dr. Kinal)
Eco 525: Time Series and Forecasting (Dr. Kinal, Dr. Kim, Dr. Xu)
Eco 529: Forecasting in Public Sector (Dr. Lahiri, Mr. Megna, Dr. Xu, Dr. Boyd)
4
Not included above are the responsibilities of a new faculty member, to join the
department in Fall 2004.
Leadership:
Professor Kajal Lahiri (http://www.albany.edu/~klahiri/), an internationally
recognized forecasting expert and a member of the editorial boards of
International Journal of Forecasting, Journal of Econometrics, and Journal of
Business Cycle Measurement and Analysis, has agreed to spearhead the
departmental effort to set up the certificate program and teach some of the core
forecasting courses.
IV. Prospective Students
The Certificate is designed primarily to attract local professionals working in
businesses and government agencies and graduate students in the M.A. program
in economics. A significant proportion of the professionals lack formal training
in modern forecasting techniques. The availability of the Certificate will provide
them the opportunity to enhance their knowledge and skill base in the rapidly
changing workplace.
The certificate will enhance our ability to attract students, nationally and
internationally, to our M.A. program. In our recruiting students for the M.A.
program, we are giving special attention to our economic forecasting area of
concentration. Students in this concentration will fulfill the requirements for the
certificate as they fulfill the general and concentration requirements for the M.A.
The department anticipates that the academic quality of the local professionals
and M.A. students that we will be able to attract will be quite high. This
expectation is based on our experience in running our graduate programs and on
our relationships with various state agencies and the local chapter of the American
Statistical Association. In addition to the general University requirements for
admission to graduate study, applicants must have sufficient background in
economics, mathematics, and statistics to undertake the program.
We anticipate enrolling 15-20 students in the first year of the program, with most
of these also being enrolled in our M.A. program.
V. Resources and Support Programs
Instructors: As noted previously, the courses for the certificate program will be
taught by a combination of department faculty and affiliated professionals. All
the courses for the certificate program will be offered an a regular basis as part of
our M.A. program, and the modest number of additional enrollments due to the
5
certificate program will be accommodated with no need for additional
instructional resources.
Libraries: The University libraries have more than two million book volumes and
subscribe to numerous electronic and hard copy journals. The library also
acquires data for use in economics and other fields. These facilities are available
to students in the certificate program.
Computing Facilities: The Department has a graduate computer lab equipped
with up-to-date personal computers, available for students enrolled in graduate
courses. The University has a Unix system for mail, webserving, and general
computing needs and it maintains several public access computing rooms
equipped with high-end desktop computers and Unix workstations.
Research Institute: The Econometric Research Institute, apart from its current
work on transportation forecasting, conducts 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 research
projects are being sponsored by the New York State Division of the Budget, and
require the research assistance of large number of undergraduate and graduate
students on a regular basis. The Institute will be a natural place for students in the
certificate program to get hands-on experience in conducting and analyzing
business surveys.
Appendix
Faculty Vitae, pages 7–73
Kajal Lahiri
Terrence Kinal
Thad Mirer
Jae-Young Kim
Donald J. Boyd
Denis Kwiatkowski
Robert L. Megna
Qiang Xu
[ 2/23/04 ]
6
