Course detail

LCE5820 - Time Series

Credit hours

In-class work
per week
per week
4 weeks
120 hours

Vitor Augusto Ozaki

Provide the basis for the analysis of time series. Such analysis includes the detection of components of interest such as seasonal trends and the modeling a set of observations and verification of rupture or sudden changes in the behavior of the series.

1. FUNDAMENTAL CONCEPTS. 2. FOURIER ANALYSIS. Periodogram. Test for periodic components. 3. Decomposition Models. 4. ARIMA models: identification, estimation, diagnostic and forecast. 5. SEASONAL TIME SERIES MODELS. 6. VAR MODELS: structural VAR: estimation and forecast. 7. INTERVENTION ANALYSIS.

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