Lecture 17

19 Abril 2024, 08:00 • Nuno Sobreira

Chapter 5 - Forecasting with ARIMA models. Optimal forecasts for different ARIMA models. Using the MA representation to obtain the variance of the forecasting errors.

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Lecture 16

17 Abril 2024, 08:00 • Nuno Sobreira

Chapter 4 - Non-stationary processes. Unit root tests in practice with R. Introduction to chapter 5- Forecasting with ARIMA models. The conditional expectation as a mean to obtain optimal forecasts.

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Lecture 15

15 Abril 2024, 08:00 • Nuno Sobreira

Properties of random walk and random walk with drift processes. Examples in R. Testing for a unit root: DF and ADF tests. Choosing the deterministic components and the lag order of the auxiliary regression.

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Lecture 14

10 Abril 2024, 08:00 • Nuno Sobreira

Chapter 4 - The spurious regression problem (cont.). Difference stationary and trend stationary processes. Examples in R.

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Lecture 13

8 Abril 2024, 08:00 • Nuno Sobreira

Chapter 3 - Box-Jenkings methodology. Introduction to chapter 4

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