Course detail

LCE5820 - Time Series


Credit hours

In-class work
per week
Practice
per week
Credits
Duration
Total
12
4
8
4 weeks
120 hours

Instructor
Vitor Augusto Ozaki

Objective
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.

Content
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.

Bibliography
BOX, G.E.P., JENKINS, G.M., REINSEL, G.C. Time Series : Forecasting and Control. Prentice Hall, New Jersey, 1994.
DAVIDSON, J. (2000). Econometric Theory. Blackwell Publishing.
HENDRY, D.F. (1995). Dynamic Econometrics. Oxford University Press.
HAYASHI, F. (2000). Econometrics. Princeton University Press.
BAUWENS, L., LUBRANO, M., RICHARD, J.F. Bayesian inference in dynamic econometric models, New York : Oxford University Press, 1999.
CHATFIELD, C. The Analysis of Time Series . Chapman & Hall, New York, 1996. SHUMWAY, R.H., STOFFER, D.S. Time Series Analysis and Its Applications: With R Examples, Springer, 2006.
MORETTIN, P.A, TOLOI, C.M.C. Previsão de Séries Temporais. Editora Atual, São Paulo, 1985.
MORETTIN, P.A. TOLOI, C.M.C. Análise de Séries Temporais. 2ª edição revista e ampliada. Editora Blucher, 2006.
WEI, W.W.S. Time Series Analysis. Addison Wesley, New York, 1990. REINSEL, G.C. Elements of Multivariate Time Series Analysis, Springer-Verlag, Nova Iorque, 1997.
LUTKEPOHL, H. Introduction to Multiple Time Series Analysis, Springer Verlag, 1993.
BROCKWELL, P.J., DAVIS, R.A. Introduction to Time Series and Forecasting, Springer-Verlag, Nova Iorque, 2003.
PRIESTLEY, M.B. Spectral Analysis and Time Series, Academic Press, London, 1996.
HAMILTON, J.D. Time series analysis, 1994. WEI, W.W.S. Time Series Analysis - Univariate and Multivariate Methods, Addison-Wesley, Nova Iorque, 2006.
BRILLINGER, D.R. Time Series: Data Analysis and Theory, SIAM: Society for Industrial and Applied Mathematics, 2001. EHLERS, R. Análise de Séries Temporais, Laboratório de Estatística e Geoinformação, Universidade Federal do Paraná, 2007.
(http://leg.ufpr.br/~ehlers/notas/stemp.pdf).