Time Series

Code: PECO6040
Course: Doctorate in Economics
Credits: 4
Hourly load: 60
Syllabus: Basic concepts of time series (characterization, autocovariance, autocorrelation, trend, seasonality, cycle, stationarity and ergodicity, index numbers, other concepts). Decomposition Models (Non-Observable Components). Naive Models of Time Series. Analysis of forecast errors. Exponential Smoothing Models (Brown and Holt & Winters). Simple moving averages. Exponential smoothing (simple, linear, seasonal). Holt's Biparametric Straightening. Holt-Winters models. Univariate Box-Jenkins models. Other time series models.
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BROCKWELL, Peter J. and Richard A. Davis (2002), Introduction to time series and forecasting, New York: Springer,2nd Edition, 2002.
BROCKWELL, Peter J. and Richard A. Davis (2006), Time Series: Theory and Methods, 2nd edition, New York : Springer, 2006.
BUENO, Rodrigo de Losso da Silveira (2011). Econometria de series temporais. 2ªed. Ed.Cengage.
CHATFIELD, C. (1996), The Analysis of Time Series: An Introduction, 5th Edition, Chapman&Hall, UK.
HAMILTON, J. D. (1994), Time Series Analysis, Princeton University Press, Princeton.
HARVEY, A. C. (1993), Time Series Models, segunda edição, Philip Allan, Deddington,
SHUMWAY, Robert H. and Stoffer, David S. (2011). Time Series Analysis and Its Applications - With R Examples. Third edition, Springer, 2011
SPYROS Makridakis, Steven C. Wheelwright, Rob J. Hyndman (1998), Forecasting Methods and Applications, New York, Wiley, 3rd edition,1998.
MONTGOMERY, D. C., Jennings, C. L. and Kulahci, M. (2008), Introduction to Time Series Analysis and Forecasting, (Wiley Series in Probability and Statistics), 2008.
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WEI, William, W. S. (2006), Time series analysis: Univariate and multivariate methods. Second edition, Pearson Education: Addison-Wesley, 2006.