lecture/tutorial

21 Outubro 2024, 09:30 • Adriana Cornea-madeira

We discussed different unit root tests, forecasting with ARMA and exponential smoothing. We also illustrated the Box-Jenkins approach to the monthly US unemployment change, in R.

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lecture

14 Outubro 2024, 09:30 • Adriana Cornea-madeira

We discussed about ARFIMA and HAR models, as well as about the impact on inference and forecasting of having stationary and non-stationary time series. We also discussed about the non-causal AR and briefly mentioned its applications.

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lecture/tutorial

7 Outubro 2024, 09:30 • Adriana Cornea-madeira

We solved exercise 4 of homework 4, and we revised the maximum likelihood estimation of ARMA models.

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lecture/tutorial

30 Setembro 2024, 09:30 • Adriana Cornea-madeira

We solved most of the homework 1 and revisited some of the material covered in previous weeks to consolidate our knowledge. 

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lecture

23 Setembro 2024, 09:30 • Adriana Cornea-madeira

We discussed properties of the ACF/PACF for ARIMA models. We also discussed the maximum likelihood estimation and mentioned the Box-Jenkins approach to fitting an ARIMA:

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