Model selection and forecasting

11 Novembro 2020, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Model selection criteria: AIC and SIC

Forecasting

Minimum MSE forecasting

Wold decomposition

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Nonstationary models

4 Novembro 2020, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Box-Jenkins methodology

How to chose d

Unit root tests

ARIMA models

Special case of IMA(1,1) - Exponential smoothing techniques

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Nonstationarity

28 Outubro 2020, 18:00 • Nuno Paulo De Sousa Arrobas Crato

ARIMA models

Deterministic and stochastic trends

Differencing: overdifferencing and underdifferencing

Drift in stochastic trend models

Random walk 

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ARMA models

21 Outubro 2020, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Mixed AR and MA models

Obtaining the ACF via ACF Generating function \gamma(B)

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MA and AR models

14 Outubro 2020, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Characteristics of the MA and AR models: stationarity (causality) and invertibility

Inverting an MA and expressing in Wold form an AR

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