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732A34 Time Series Analysis
Work plan and material
Course material (additional)
- A written exam "template" (not 100 % quality checked)
- Meeting 12 (16 October), presentation:
Data and script:- Stock_Exchange.txt (General Index)
- GBP_EUR.dat (Weekly average exchange rates GBP/EUR)
- LB_plot.R (R-function for computing and plotting successive Ljung-Box tests)
- Meeting 11 (12 October), presentation:
- PowerPoint 2010
- PowerPoint 97-03
- gasrate.dat Data for the last example
- Meeting 10 (9 October), presentation:
- Meeting 9 (5 October), presentation:
- Assignment 3:
- Meeting 8 (2 October), presentation (solutions to exercises Chapter 2:
- Meeting 7 (24 September), presentation:
- Assignment 2:
- Meeting 6 (21 September), presentation:
- Meeting 4 (11 September), presentation:
- Assignment 1:
- Meeting 2 (6 September), presentation:
- Meeting 1 (29 August), presentation:
Work plan and recommended exercises
|
Week |
Contents |
Reference |
Additional |
| 35 |
Fundamental concepts |
Chapter 1, 2 | Recommended exercises: 1.4, 1.6, 2.1, 2.3, 2.5, 2.8, 2.11, 2.15, 2.20, 2.24 |
| 36 | Trends and seasons | Chapter 3 |
Recommended exercises: 3.3, 3.4, 3.5, 3.7, 3.9, 3.11, 3.16 Assignment 1 will be distributed |
| 37 | Models for stationary and non-stationary series | Chapter 4,5 | Recommended exercises: 4.1, 4.6, 4.9, 4.15, 4.19, 4.21, 5.2, 5.7, 5.11, 5.14, 5.16 |
| 38 | Model specification | Chapter 6 |
Recommended exercises: 6.4, 6.11, 6.17, 6.19, 6.20, 6.21, 6.27, 6.28, 6.30, 6.33, 6.35, 6.36, 6.39 Assignment 2 will be distributed |
| 39 | Estimation and model diagnostics | Chapter 7, 8 | Recommended exercises: 7.1, 7.4, 7.6, 7.10, 7.14, 7.17, 7.21, 7.28, 7.30, 8.4, 8.7, 8.9, 8.11 |
| 40 | Forecasting and seasonal models | Chapter 9, 10 |
Recommended exercises: 9.1, 9.2, 9.8, 9.11, 9.16, 9.21, 9.22, 9.23, 9.25, 10.2, 10.5, 10.7, 10.9, 10.11 Assignment 3 will be distributed |
| 41 | Time series regression | Chapter 11 | Recommended exercises: 11.3, 11.6, 11.11, 11.14, 11.15, 11.16, 11.18, 11.19, 11.20 |
| 42 | Models of heteroscedasticity | Chapter 12 | Recommended exercises: 12.2, 12.7, 12.8, 12.10 |
Page responsible: Anders Nordgaard
Last updated: 2012-10-17
