Statistics, Time Series Analysis and Forecasting, Intermediate Course

Time series analysis is used to study and model dependence over time and thereby also how variables evolve over time. How does the price of a stock today depend on yesterday's price, how does the surface level in a lake depend on previous levels and the amount of rain in recent days, how can the interest rate and GDP growth be explained by previous interest rates and growth. The course covers basic time series models including ARIMA, unit roots, multivariate time series models, co-integration and models well suited for financial data. A good understanding of dependence over time and how variables evolve is fundamental when making predictions and producing good forecasts. The use of time series models for forecasting is an important part of the course.