MA and AR models

1 Outubro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

White noise as a model for correlated data

Wold decomposition, moving average and autoregressive models

Invertibility conditions for an MA: roots outside the unit circle - inverted roots inside

Interpretation of EViews outputs: Q tests and F tests

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Structure of stationary time series

24 Setembro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

Autocorrelation and partial autocorrelation functions

Forecasting horizons, forecasting loss functions

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Introduction to the Course

17 Setembro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

Introduction

Time series and stochastic processes

Economic and financial time series components

Stationary time series

Autocovariance and autocorrelation functions: ACVF and ACF

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