### General

** APPLIED TIME SERIES ANALYSIS**

Instructor: Ceylan YOZGATLIGİL Added: 02 June 2011 |

### General

**APPLIED TIME SERIES ANALYSIS**Instructor: Ceylan YOZGATLIGİL

Added: 02 June 2011

### Topic 1

INTRODUCTION + STATIONARITY

LAB: Inroduction to Time Series in R

### Topic 2

AUTOCORRELATION, PARTIAL AUTOCORRELATION, RANDOM SHOCK FORM, INVERTED FORM### Topic 3

STATIONARY TIME SERIES PROCESSES (ARMA PROCESSES)### Topic 4

MODEL INDETIFICATION AND NON-STATIONARY TIME SERIES MODELS

LAB: ACF+PACF+EACF+Stationarity+KPSS Test+Detrending

### Topic 5

UNIT ROOT TESTS

LAB: Variance Stabilizing Transformation+Unit Root Tests+ Seasonal Dummy Model or Seasonal Means model+SARIMA

### Topic 6

SEASONAL TIME SERIES MODELS

LAB: Seasonal Unit Root (HEGY Test) + Canova-Hansen Test

### Topic 7

FORECASTING: ARIMA FORECASTING + EXPONENTIAL SMOOTHING### Topic 8

ESTIMATION### Topic 9

DIAGNOSTIC CHECKING

LAB: Estimation, Diagnostic Checking, Forecasting

### Topic 10

MODELING VOLATILITY BY ARCH-GARCH MODELS### Topic 11

VAR MODELS AND GRANGER CAUSALITY### Topic 12

COINTEGRATION### Topic 13

- LAB: Time Series Applications in SAS

### Topic 14

- LAB: VAR Models, Granger Causality and Cointegration

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