Programa

Séries Temporais

Mestrado Bolonha em Econometria Aplicada e Previsão

Mestrado Bolonha em Economia

Programa

- Introduction to Time Series and Their Empirical Features - Time Series Decomposition and Transformations - Stationarity, Autocorrelation and Partial Autocorrelation - White Noise and Autoregressive (AR) Models - Moving Average (MA) and ARMA Model - Model Identification, Estimation, Testing and Selection - ARIMA Models for Nonstationary Time Series - Unit Root, Trend and Difference Stationarity - ARFIMA, HAR - Forecasting - Seasonal Time Series Models - Exponential Smoothing - State-space models and Kalman filter - Nonlinear models (nonlinear autoregressive models, threshold autoregressive models, etc) - Topics for Further Research