Lecture 16

25 Março 2022, 08:00 • Nuno Sobreira

Chapter 4 - Non-stationary processes. Difference stationary processes. Random walk and random walk with drift. Unit root tests

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Lecture 15

23 Março 2022, 09:30 • Nuno Sobreira

Solving Box-Jenkins chapter 3 exercises

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Lecture 14

21 Março 2022, 08:00 • Nuno Sobreira

Chapter 4 (cont). Models for non-stationary time series. Trend stationary and difference stationary processes. Simulating TS and DS processes. Random walk: definition and main properties. 

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Lecture 13

18 Março 2022, 08:00 • Nuno Sobreira

Introduction to chapter 4. The spurious regression problem. Trend stationary processes.

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Lecture 12

16 Março 2022, 09:30 • Nuno Sobreira

Chapter 3 - Box Jenkins methodology for ARIMA. quick revision of all the BJ stages. More on diagnostic checking of the residuals. Definite identification of the ARIMA model with model selection criteria. Automatic modeling of ARIMA.

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