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Course Description

Course: TIME SERIES ANALYSIS AND FORECASTING

Code: QNT402

Semester: A

Instructor: Violetta Dalla

Aims and Objectives

The course presents the basic statistical concepts in time series analysis to develop models using Box-Jenkins and regression methods for forecasting stationary and non stationary time series. The course combines the statistical theory with applications using the statistical package EViews on simulated data and data from macroeconomic and financial time series.

Contents:

  1. Basic statistical concepts in time series analysis.
  2. Analysis of the components of time series.
  3. Modelling stationary time series.
  4. Modelling non stationary and seasonal time series.
  5. Identification, estimation and diagnostics checking of time series models.
  6. Statistical forecasting with regression and Box-Jenkins methods.

Course Books:

Greek:

Α. Xenakis (Notes), Time Series Analysis and Forecasting – Time Domain Analysis, 1998.

English:

  1. P. J. Brockwell & R. A. Davis, Introduction to Time Series and Forecasting, Springer, 1996.
  2. G. E. P. Box & G. M. Jenkins, Time Series Analysis: Forecasting and Control, Holden-Day, 2nd edn, 1976.