Class
|
Day
|
Date |
BD**
|
Topic
|
Homework
|
Lecture Notes
|
Suggested Readings
|
1
|
Tue
|
Jan.
16
|
|
Introduction
|
|
|
|
2
|
Thu
|
Jan.
18
|
Ch.1
|
Introduction
to TS
|
|
|
|
| 3 |
Tue
|
Jan.
23
|
Ch.1
|
Stationary
models,
trend and seasonal component |
|
|
|
4
|
Thu
|
Jan.
25
|
Ch.1
|
Stationarity,
ACF
|
|
|
|
5
|
Tue
|
Jan.
30
|
Ch.1
|
Trend,
smoothing
|
|
|
|
6
|
Thu
|
Feb.
1
|
Ch
1, Notes |
Testing
for randomness.
Volume
indexes. Rate of growth.
|
|
|
|
7
|
Tue
|
Feb.
6
|
Ch.
2
|
Stationary
processes: Forecasting. |
|
|
|
8
|
Thu
|
Feb.
8
|
Ch.
2
|
Stationary
processes. Cont'd. |
|
|
|
9
|
Tue
|
Feb.
13
|
Ch.
3 |
ARMA
Models, HW1 solutions |
|
|
|
10
|
Thu
|
Feb.
15
|
Ch.
3 |
ARMA
Models: ACF, PACF
|
|
|
|
11
|
Tue
|
Feb.
20
|
Ch.
3 & 4
|
ARMA
models, Spectral
Analysis
|
|
|
|
12
|
Thu
|
Feb.
22
|
Ch.
4
|
Spectral
Analysis, HW2 solutions |
|
|
|
13
|
Tue
|
Feb.
27
|
|
Exam
1
|
|
|
|
14
|
Thu
|
Mar.
1
|
|
Exam 1
Solutions
|
|
|
|
15
|
Tue
|
Mar.
6
|
Ch.
4 |
Spectral
Analysis. Periodogram.
|
|
|
|
| 16 |
Thu
|
Mar.
8
|
Ch.
5
|
Modeling
and Forecasting with ARMA |
|
|
|
|
|
|
|
SPRING
BREAK
|
|
|
|
17
|
Tue
|
Mar.
20
|
Ch.
5
|
Modeling
and Forecasting with ARMA.
Project directions.
|
|
|
|
18
|
Thu
|
Mar.
22
|
Ch.6
|
ARIMA
& SARIMA.
|
|
|
|
19
|
Tue
|
Mar.
27
|
Ch.6
|
Unit
roots. |
|
|
|
20
|
Thu
|
Mar.
29
|
Ch. 7
|
Multivariate
TS. VAR and VEC models. Cointegration. Granger causality. |
|
|
|
| 21 |
Tue |
Apr.
3
|
Ch.9 |
Forecasting
techniques, ARAR, Holt-Winters.
M3 Competition.
|
|
|
|
22
|
Thu
|
Apr. 5
|
Part
of Ch.10:
Section 10.3.5 |
ARCH
and GARCH
models.
|
|
|
|
23
|
Tue
|
Apr.
10
|
Ch.
4,5,6,7 |
Review.
|
|
|
|
24
|
Thu
|
Apr.
12
|
|
Exam 2
|
|
|
|
25
|
Tue
|
Apr.
17
|
Parts
of Ch.8
& Ch.10
|
Transfer function
models.
Intervention analysis.
State-Space
models.
Markov regime-switching model.
|
|
|
|
26
|
Thu
|
Apr. 19
|
|
Return
Exam 2 |
|
|
|
27
|
Tue
|
Apr.
24
|
Guest
lecture
|
Dr.
John Grego
|
|
|
|
28
|
Thu
|
Apr.
26
|
Review
|
Project due by 4:00pm
|
|
|
|
|
Thu
|
May
3
|
5:30 pm
|
Final exam due via
e-mail.
|
|
|
|