John von Neumann Institute, Vietnam National University, Ho Chi Minh City
Teaching Assistant: Hoai Nam Nguyen
Monday 19/03/2018 - Thursday 29/03/2018
Total hours: 36 (including labs)
(tentative) Timetable:
First week:
- Monday 19/03, h. 13.00-16.00 (class)
- Tuesday 20/03, h. 8.30-11.30 (class+lab)
- Wednesday 21/03, h. 13.00-16.00 (class+lab)
- Thursday 22/03, h. 8.30-11.30 (class+lab)
- Friday 23/03, h. 8.30-11.30 (class+lab), h. 13.00-16.00 (lab+lab)
Second week: (hours have changed)
- Monday 26/03, h. 13.00-16.00 (class+lab)
- Tuesday 27/03, h. 13.00-16.00 (class+lab)
- Wednesday 28/03, h. 8.30-11.30 (class), h. 13.00-16.00 (lab)
- Thursday 29/03, h. 8.30-11.30 (tbd)
- Friday 30/03, h 8.30-11.30 (student presentations)
Useful links:
- Central Statistics Office of Ireland (good source of time series data)
- A little book of R for time series, by Avril Choglan
- Meinhold and Singpurwalla (1983), "Understanding the Kalman filter" (pdf).
MATERIAL (it will be uploaded day-by-day):
Handouts (files are password protected):
19/03/18: handouts 1 (pdf), R example (R)
20/03/18: handouts 2 (pdf)
21/03/18: handouts 3 (pdf)
22/03/18: handouts 4 (pdf)
23/03/18: handouts 5 (pdf)
26/03/18: handouts 6 (pdf)
27/03/18: handouts 7 (pdf)
28/03/18: handouts 8 (pdf)
Labs (files are password protected):
20/03/18: lab 1 (pdf,xlsx) and solutions (xlsx)
21/03/18: lab 2 (pdf,R), data (csv) and solutions (R)
22/03/18: lab 3 (pdf,xlsx) and solutions (xlsx)
23/03/18: lab 4 (pdf,xlsx) and solutions (xlsx); lab 5 (pdf,data)
26/03/18: lab 6: continue with lab 5
27/03/18: lab 7 (pdf,R) and solutions (R)
28/03/18: lab 8 (pdf,R,csv) and solutions (R)
Other material
19/03/18: individual project instructions (pdf). Deadline for the submission is postponed to Monday 16/04/2018.
21/03/18: monthly beer production data (txt).
Notice that in class we worked with a subsample of this dataset, starting Jan 1991.
SYLLABUS (updated after each class):
19/03/18: introduction to quantitative forecasting; explanatory vs time series models; time series patters; simple linear regression to make forecasting.
20/03/18: autoregressive model AR(m); details of AR(1); transformation of the data to stabilise the variance; other transformations such as month length or trading day adjustment.
21/03/18: time series decomposition; additive (and multiplicative) model; regression trend and seasonal model (with AR component); regression trend and seasonal model (with indicator variables).
22/03/18: exponential smoothing; Holt's linear method; comparing different forecasting methods: RMSE, MAPE.
23/03/18: Holt Winters methods: additive and multiplicative; Stationarity in mean, autocorrelation function; partial autocorrelation function; differencing and seasonal differencing.
26/03/18: Backshift operator; moving average MA models; autoregressive moving average ARMA models; ACF and PACF in ARMA models; autoregressive integrated moving average ARIMA models; Aikake Inforation Criterion AIC.
27/03/18: ARIMA models with seasonality; Kalman-Filter KF model; derivation of KF updating equations.
28/03/18: GARCH models; GARCH and ARMA; one and k step ahead forecasting with GARCH models.