Lecture 11

5 Março 2025, 08:00 • Nuno Sobreira

Chapter 4 - the spurious regression problem. Introduction to difference-stationary and trend-stationary processes.

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Lecture 10

26 Fevereiro 2025, 08:00 • Nuno Sobreira

Chapter 3 - Diagnostic checking of ARIMA models based on the residuals. Empirical examples. 

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Lecture 9

24 Fevereiro 2025, 08:00 • Nuno Sobreira

Chapter 3- Box-Jenkins methodology. Tentative identification and model estimation. Empirical examples.

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Lecture 8

19 Fevereiro 2025, 08:00 • Nuno Sobreira

Chapter 2 - Properties of ARIMA models. The mixed case (both AR and MA components). Recap of all the main properties of this class of processes.

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Lecture 7

17 Fevereiro 2025, 08:00 • Nuno Sobreira

Chapter 7 - Properties of ARIMA models. The AR case.

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