Sumários

Unit root tests

10 Novembro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Distinguishing between underdifferenced and overdifferenced processes

Trend stationarity and difference stationary models
The three main types of Unit Root tests - DF and ADF tests

Model choice and estimation

5 Novembro 2021, 18:30 • Nuno Paulo De Sousa Arrobas Crato

Trend stationary and difference stationary models

Model identification

3 Novembro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Box- Jenkins methodology

Model comparisons: AIC and BIC
Tests for  whiteness of residuals

Forecasting + Seasonality

27 Outubro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Forecasting processes in their Wold representation, forecasting error

Forecasting ARMA models

Seasonality decomposition
SARIMA models and their ARIMA with restrictions representation 

Nonstationarity

20 Outubro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Nonstationarity in levels and variability

Deterministic and stochastic trends
Variance stabilizing transformations: Box-Cox, log difference and growth rates
Random Walk and ARIMA models
Random Walk, Brownian motion