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Presentation
Presentation
Software use (Gretl and Eviews) for time series analyses, model estimation/building and forecasting. Skills acquisition researching in national and international databases. Independence in data research, its interpretation and transformations. Identify the main mathematical properties in time series to allow Box-Jenkins methodology application. Perform estimations and forecasting. Critical analysis of the results, comparing the expected with those obtained.
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Class from course
Class from course
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Degree | Semesters | ECTS
Degree | Semesters | ECTS
Bachelor | Semestral | 5
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Year | Nature | Language
Year | Nature | Language
3 | Mandatory | Português
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Code
Code
ULHT72-3523
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Prerequisites and corequisites
Prerequisites and corequisites
Not applicable
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Professional Internship
Professional Internship
Não
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Syllabus
Syllabus
Syllabus 1. Statistics review 2. Linear Regression Model Time series Ordinary Least Squares Restrictions 3. Series components Trend Seasonality Cycles Outliers 4. Stationarity of the series Dickey Fuller Test 5. Box-Jenkins Methodology Autoregressive models Moving Average Models ARMA, ARIMA, SARIMA Models 6. Models estimation and validation 7. Selection of models 8. Forecasting
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Objectives
Objectives
Students should develop skills enabling them to construct short-term forecasting models using the Box-Jenkins methodology and the software introduced in class. Furthermore, they are expected to acquire autonomy in researching information from various databases and demonstrate organization in collecting and processing this information.
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Teaching methodologies and assessment
Teaching methodologies and assessment
Valuation: One Intermediate Test (30%), class assessment (Case study with Gretl and time series in the scope Box-Jenkins methodology 10%) and Final Test (50%). Teaching methodology : The course will be driven through practical exercises. Students will learn the several techniques because they will need to apply them in order to solve exercises.
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References
References
Gujarati, Damodar - Basics Econometrics. 4th, McGraw-Hill Amaro A., 2012 Caiado, J. (2016). Métodos de Previsão em Gestão: com aplicações em Excel. 2ª edição. Edições Sílabo Franses, Philip Hans, 1998, Time Series Models for Business and Economic Forecasting, Cambridge University Press.
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Office Hours
Office Hours
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Mobility
Mobility
No