Forecasting Methods
Objectives
The main objective of this course is to develop the skills needed to do empirical research in fields operating with time-series data sets.
The course intends to meet two goals: it provides tools for empirical work with time series data and is an introduction into the theoretical foundation of time series models. Much of the statistical methodology is concerned with models in which the observations are assumed to be independent. However, many data sets occur in the form of time series where observations are dependent. In this course, we will concentrate on time series analysis, with a balance between theory and applications.
General characterization
Code
200088
Credits
3.5
Responsible teacher
Hours
Weekly - Available soon
Total - Available soon
Teaching language
Portuguese. If there are Erasmus students, classes will be taught in English
Prerequisites
Statistics and linear algebra (recomended)
Bibliography
Teaching method
The couse is based upon lectures and lab classes
Evaluation method
• (60%) Final exam (1st or 2nd round dates)
• (40%) Project
Subject matter
1. Time series basics: overview, autocorrelation and AR(1) model
2. R tutorial
3. Moving Average (MA) models and partial autocorrelation
4. ARIMA Models: non-seasonal ARIMA models; diagnostics; forecasting
5. Seasonal ARIMA models; identification
6. Decomposition models
7. Exponential smoothing
8. The Periodogram
9. Regression with ARIMA errors
10. Two time series and cross-correlation
11. Var models
12. ARCH and GARCH models
13. Longitudinal analysis
14. Intervention analysis
Programs
Programs where the course is taught:
- Specialization in Information Analysis and Management
- Specialization in Risk Analysis and Management
- Specialization in Business Intelligence
- Specialization in Information Systems
- specialization in Digital Transformation
- Specialization in Business Intelligence – Working Hours
- specialization in Information Systems - working hours
- PostGraduate in Information Analysis and Management
- PostGraduate Risk Analysis and Management
- PostGraduate in Business Intelligence
- PostGraduate in Smart Cities
- PostGraduate in Information Management and Business Intelligence in Healthcare
- PostGraduate Information Systems Management
- PostGraduate in Enterprise Information Systems
- Postgraduate Program in Statistical Systems with a specialization in Central Banks
- Postgraduate Program in Statistical Systems with a specialization in Official Statistics
- Pós-Graduação em Transformação Digital