ARIMA Models

10 Março 2021, 11:00 • Rita Sousa

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The Box-Jenkins Methodology (Identification, Estimation and Diagnostic). The Box-Pierce and Ljung-Box tests. Dealing with seasonality: the SARIMA models. The Unit Root Tests: Dickey-Fuller, Augmented Dickey-Fuller, KPSS and Phillips-Perron tests, discussion and application to nonstationary time series.

ARIMA Models

10 Março 2021, 09:30 • Rita Sousa

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The Box-Jenkins Methodology (Identification, Estimation and Diagnostic). The Box-Pierce and Ljung-Box tests. Dealing with seasonality: the SARIMA models. The Unit Root Tests: Dickey-Fuller, Augmented Dickey-Fuller, KPSS and Phillips-Perron tests, discussion and application to nonstationary time series.

Introduction to stochastic time series models: basic concepts

3 Março 2021, 11:00 • Rita Sousa

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Introduction to stochastic time series models: white noise and random walk processes, stationarity, autocorrelation and partial autocorrelation functions. ARIMA models: differenced and log transformations, lag operator, pure Autoregressive (AR) processes, pure Moving Average processes (MA) and ARMA processes.

Introduction to stochastic time series models: basic concepts

3 Março 2021, 09:30 • Rita Sousa

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Introduction to stochastic time series models: white noise and random walk processes, stationarity, autocorrelation and partial autocorrelation functions. ARIMA models: differenced and log transformations, lag operator, pure Autoregressive (AR) processes, pure Moving Average processes (MA) and ARMA processes.

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24 Fevereiro 2021, 11:00 • Rita Sousa

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Alternative Estimation Methods: Generalized Least Squares, Nonlinear Least Squares, Maximum Likelihood and Generalized Method of Moments.