Time Series (MP-CA)
Área
AC Matemática > UC Mestrados
Activa nos planos curriculares
Actuarial Science > Actuarial Science > 2º Ciclo > Unidades Curriculares Obrigatórias > Time Series
8ª Edição > 8ª Edição > 2º Ciclo > Unidades Curriculares Obrigatórias > Time Series
Nível
2º Ciclo (M)
Tipo
Não Estruturante
Regime
Semestral
Carga Horária
Aula Teórica (T): 0.0 h/semana
Aula TeoricoPrática (TP): 3.0 h/semana
Trabalho Autónomo: 129.0 h/semestre
Créditos ECTS: 6.0
Objectivos
On completion of this course, the student should be able to:
- Recognize and understand the main econometric models used in the analysis of time series.
- Understand the theoretical reasoning which led to the development of the most important univariate and multivariate models.
- Be familiar with the use of econometric software to carry out time series analysis.
- Develop critical thinking about empirical work with time series data.
- Be able to develop a forecasting study of different sets of variables and formulate statistical hypotheses of interest. Understand the limitations of the econometric methodology applied in the study
Programa
- Introduction to time series analysis. Fundamental concepts
- Models for stationary time series. Autoregressive Moving Average (ARMA) models
- Box-Jenkins methodology: model identification, estimation and diagnostic checking
- Models for nonstationary time series. Autoregressive Integrated Moving Average (ARIMA) models and unit root testing
- Forecasting using ARIMA models
- Seasonality and Seasonal ARIMA (SARIMA) models
- Conditional Heteroskedasticity time series models. ARCH/GARCH models
- Forecasting with exponential smoothing methods
- Multivariate Time Series Models
Metodologia de avaliação
Lectures will be theoretical and practical, starting on main empirical patterns found in time series as a basis to present statistical methods and models used to represent it. Core mathematical models for time series will be presented in a constructive way, but practical relevance of different models in terms of time series behavioural patterns and on the nature of implied forecast functions will also be strengthened. Using available software, models and modelling strategies will be applied on real time series data with emphasis in critical analysis as a function of purposes.
Students will be assessed based on a final exam (60%) and a practical computational test (40%) using R
Bibliografia
Principal
Applied Econometric Time Series
Enders, W.
2009
Wiley
Time Series Analysis
Hamilton, J.
1994
Princeton University Press
Analysis of Financial Time Series
Tsay, R. S.
2005
Wiley.
Análise de Séries Temporais
Morettin P. A., e C. M. C. Toloi
2004
Editora Edgard Blücher
Introductory Econometrics: A Modern Approach
Wooldridge, J.M.
2011
Cengage Learning
Secundária
Não existem referências bibliográficas secundárias.