Sumários
Lecture 18
27 Março 2023, 08:00 • Nuno Sobreira
Chapter 5 - Forecasting with ARIMA models. Deriving the (point) forecast functions for several examples. General framework to obtain prediction intervals.
Lecture 17
24 Março 2023, 09:30 • Nuno Sobreira
Testing for a unit root in practice using R. Introduction to chapter 5 - Forecasting with ARIMA models. Main concepts.
Lecture 16
22 Março 2023, 08:00 • Nuno Sobreira
Chapter 4 - Testing for a unit root using Dickey-Duller tests. Choosing the deterministic components and the lag length. Unit root testing in practice using R.
Lecture 15
20 Março 2023, 08:00 • Nuno Sobreira
Examples of difference-stationary and trend-stationary processes (simulated and real data sets). Testing for a unit root with Dickey-Fuller tests.
Lecture 14
17 Março 2023, 09:30 • Nuno Sobreira
Diagnostic checking of the residuals. A (semi-)automated approach to modelling time series with ARIMA models: the auto.arima algorithm. Limitations of auto.arima and precautions. Introduction to chapter 4. The spurious regression problem. Trend-stationary and difference-stationary processes. Examples: linear trend+white-noise, random walk and random walk with drift.