Class
|
Day
|
Date |
BD*
|
Topic
|
Slides**
|
Suggested Readings
|
Homework
|
1
|
Tu
|
1/15
|
|
Introduction
|
|
|
|
2
|
Th
|
1/17
|
Ch.1
|
Introduction
to TS
|
|
|
|
| 3 |
Tu
|
1/22
|
Ch.1
|
Stationary
models,
trend and seasonal component |
|
|
|
4
|
Th
|
1/24
|
Ch.1
|
Stationarity,
ACF |
|
|
|
5
|
Tu
|
1/29
|
Ch.1
|
Trend,
smoothing |
|
|
|
6
|
Th
|
1/31
|
Ch
1, Notes |
Testing
for randomness.
Volume
indexes. Rate of growth. |
|
|
|
7
|
Tu
|
2/5
|
Ch.
2
|
Stationary
processes: Forecasting. |
|
|
|
8
|
Th
|
2/7
|
Ch.
2
|
Stationary
processes. Cont'd. |
|
|
|
9
|
Tu
|
2/12
|
Ch.
3 |
ARMA
Models |
|
|
|
10
|
Th
|
2/14
|
Ch.
3 |
ARMA
Models: ACF, PACF |
|
|
|
11
|
Tu
|
2/19
|
Ch.
4
|
Spectral
Analysis.
|
|
|
|
12
|
Th
|
2/21
|
|
HW#
1, HW# 2 Solutions
Review Ch. 1, 2, 3.
|
|
|
|
13
|
Tu
|
2/26
|
|
Exam 1 (in class open book)
|
|
|
|
14
|
Th
|
2/28
|
Ch.
4 |
Spectral
Analysis. Periodogram. |
|
|
|
15
|
Tu
|
3/4
|
|
Return
Exam #1 and HW #2.
|
|
|
|
| 16 |
Th
|
3/6
|
Ch.
5 |
Modeling
and Forecasting with ARMA |
|
|
|
|
|
|
|
Spring Break - Enjoy!
|
|
|
|
17
|
Tu
|
3/18
|
Ch.
5
|
Modeling
and Forecasting with ARMA. Project
directions. |
|
|
|
18
|
Th
|
3/20
|
Ch.6
|
ARIMA
& SARIMA. |
|
|
|
19
|
Tu
|
3/25
|
Ch.6
|
Unit
roots. |
|
|
|
20
|
Th
|
3/27
|
Ch. 7
|
Multivariate
TS. VAR and VEC models. Cointegration. Granger causality. |
|
|
|
| 21 |
Tu
|
4/1
|
Ch.9 |
Forecasting
techniques, ARAR, Holt-Winters.
M3 Competition. |
|
|
|
22
|
Th
|
4/3
|
Ch. 10
|
ARCH
and GARCH
models. |
|
|
|
23
|
Tu
|
4/8
|
Ch.
4,5,6,7 |
Review.
|
|
|
|
24
|
Th
|
4/10
|
|
Exam 2 (in class open book) |
|
|
|
25
|
Tu
|
4/15
|
Ch. 8 & 10
|
Transfer function
models.
Intervention analysis.
State-Space
models.
Markov regime-switching model. |
|
|
|
26
|
Th
|
4/17
|
Guest lecture: |
Dr. Paulo
Guimaraes |
|
|
|
27
|
Tu
|
4/22
|
Guest lecture:
|
Dr. John
Grego
|
|
|
|
28
|
Th
|
4/24
|
Review |
Project due by 4:00pm EST
Final Exam posted.
|
|
|
|
|
M
|
5/5
|
Final
|
Final
exam due back via e-mail by 11:00am EST.
|
|
|
|