Introduction to Time Series. Readings: Brooks, Chapter 1
Lecture 3 is cancelled due to teacher's leg injury.
Read Chapter 3 in the text book by Brooks to Review Multiple Linear Regression Analysis
See also slides of the book
Note: The lecture starts at 10:00 am.
Review of chapters 3 and 4 in the text book by Brooks
See also slides of the text book
Finish Chapter 4
See also book slides.
Chapter 5 of Brooks: Introduction to stochastic prosesses and ARMA models.
See book slides
Chapter 5 of Brooks: Calculation of Autocovariance function, stationarity. See also book slides
Finish Chapter 5: Partial autocorrelation function, ARMA models and their properties
Chapter 7: Random Walk models, unit roots. See also book slides
Chapter 7: Tests for Integration and Cointegration, Error-correction model. (Ch. 7.1.-7.6)
See also slides for the book by Brooks.
ARCH and GARCH models (Ch. 8.1.-8.8., 8.10-8.13, 8.16, 8.17). See also text book slides
Review. Questions. Information on the exam and project.
Introduction to dummy variables (Ch. 9.3-9.4)