Time Series and Forecasting**

A.Y. 2022/2023
6
Max ECTS
40
Overall hours
SSD
SECS-P/05
Language
English
Learning objectives
A great variety of physical and economic data are in the form of time series. Typical objectives include: · Identify the effect of past shocks on the current state of the world: were the shocks transitory or permanent? How much of a past shock is still relevant today? · Forecasting future values For multivariate time series, we are also interested in· Modelling the dynamic interaction between different series.
Expected learning outcomes
By the end of the module you will be able to: Understand the difference between a time series and an independent random sample. Apply non-parametric and parametric techniques to model time series. Choose and estimate parametric models for time series. Compute the impulse response function. Forecast future values.
Single course

This course cannot be attended as a single course. Please check our list of single courses to find the ones available for enrolment.

Course syllabus and organization

Single session

Course currently not available
SECS-P/05 - ECONOMETRICS - University credits: 6
Lessons: 40 hours