Time Series and Forecasting

Course topics

  • Basics of forecasting and time series analysis
  • Forecasting using regression
    • Forecasting cross-sectional data
    • Regression for time series data
    • Forecasting using spline/trigonometric regression
  • Time series decomposition
  • Exponential smoothing (EWMA, Holt, Holt-Winters, Croston)
  • SARIMA modeling
    • Special topics in time series and forecasting
    • ARCH/GARCH: models with conditional volatility
    • Outliers in time series
    • Structural breaks in time series
    • Multivariate time series
    • State-space models and Kalman filtering
    • Panel data

Prerequisites

Lecture sample