ST 778 - Time Series Analysis

(3.00 cr.)

Prerequisite: ST 710 . Provides a survey of the theory and application of time series analysis and forecasting. Topics covered include autoregressive integrated moving-average (ARIMA) models, seasonal ARIMA models, exogenous-variable (ARIMAX) models, conditional volatility (ARCH-GARCH) models, state-space models, nonlinear threshold autoregressive (TAR) models, unit roots and cointegration, structural breaks and outliers, and frequency domain methods. The empirical applications in the course are drawn primarily from economics and environmental science. Their analyses is performed using statistical software – R and SAS. Pass/Fail (Fall only)