Department of Statistics
Course webpage www.stat.sc.edu/~vesselin/stat520.html
Phone (803) 777-5074
is a course in applied time series analysis and forecasting. Students
will have hands-on experience with applied analysis based on actual
time series from economics,
business cycle, finance, management, and science.
Offered on alternating Spring semesters.
516 or MGSC 391; or students must have some understanding of regression
instructor to get a permission to register for the course.
to Time Series and Forecasting,
2nd edition, by P.J. Brockwell and R.A. Davis, Springer, 2002.
||ITSM2000 - Comes free with the
textbook with no exparation date. Specialized
software for time series analysis and forecasting. User
friendly with pull down menus and good graphical capabilities.
||Final grade is
Exam 1 (25%), Exam 2 (25%), Final (30%), Project
| Grading (%):
A 93; B+ 88; B
83; C+ 78; C 70;
D+ 67; D 60; F
2. Seasonal ARIMA models
3. Unit roots
5. Granger causality
6. Vector Autoregression (VAR) models
7. Vector Error Correction (VEC) models
8. Intervention analysis and structural change
9. State-Space models
Markov regime-switching model
12. GARCH models
14. Forecasting techniques
- add-factor approach
- simultaneous equations models