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. 

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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.

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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.

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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.

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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.

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