Sumários

seasonality

15 Abril 2020, 10:00 Nuno Paulo De Sousa Arrobas Crato

Deterministic and stochastic seasonality

SARIMA models

Equivalence between SARIMA models and ARIMA models with restrictions.

Estimation with ITSM


Exercises and HW discussion

3 Abril 2020, 10:00 Nuno Paulo De Sousa Arrobas Crato

Test Solution

Exercises and HW discussion


Unit roots

1 Abril 2020, 10:00 Nuno Paulo De Sousa Arrobas Crato

Concepts of under-differencing and over-differencing

Stochastic and deterministic trends

Unit roots and root tests - ADF tests


Test 1

27 Março 2020, 09:30 Nuno Paulo De Sousa Arrobas Crato

Test 1


Nonstationarity and ARIMA

25 Março 2020, 10:00 Nuno Paulo De Sousa Arrobas Crato

Types of nonstationarity

Transformations for stationarity: differencing and Box-Cox

Integration and ARIMA models