151-0350/01 – Time Series Analysis (AČŘ)

Gurantor departmentDepartment of Mathematical Methods in EconomicsCredits4
Subject guarantorIng. Petr Seďa, Ph.D.Subject version guarantorIng. Petr Seďa, Ph.D.
Study levelundergraduate or graduate
Study languageCzech
Year of introduction2010/2011Year of cancellation
Intended for the facultiesEKFIntended for study typesBachelor, Follow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
SED02 Ing. Petr Seďa, Ph.D.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Credit 1+2

Subject aims expressed by acquired skills and competences

Students will be able: * to analyze and model the economic time series including forecasting, * to explain the basic concepts and methods of modeling of economic time series.

Teaching methods

Lectures
Tutorials
Other activities

Summary

The course is focused on the analysis and forecasting of the dynamics of economic time series. Its main goal is to explain the most frequently used models and procedures for analysis of economic time series and their using in practice. These procedures are essential for decision making, planning, forecasting in the economy. Students attend seminars in computer labs. The SPSS and MS Excel software will be utilized. The course requires basic knowledge of probability theory and statistics.

Compulsory literature:

BOX, George. – JENKINS, Gwilym – REINSE, Gregory. Time Series Analysis: Forecasting and Control. Springer; 4th ed., 2008. ISBN 978-0470272848. BISGGARD, Soren. – KULAHCI, Murat. Time Series Analysis and Forecasting by Example. Wiley; 1st edition, 2011. ISBN 978-0-470-54064-0. BROCKWELL,Petr – DAVIS, Richard. Time Series: Theory and Methods. Springer; 2th ed., 2009. ISBN 978-1441903198.

Recommended literature:

SHOWMAN, Robert H. – STOFFER, David S. Time Series Analysis and Its Applications: With R Examples. Springer; 3rd ed., 2011 . ISBN 978-1441978646. BROCKWELL. Peter J. a Richard A. DAVIS. Time Series: Theory and Methods. Springer, 2nd ed. 2009. ISBN 978-1441903198.

Way of continuous check of knowledge in the course of semester

1. Preparation and submission of project. 2. Successful completion of final test. Deadlines for submission of project and deadlines for test are given by timetable of the course. Each test can be repeated once.

E-learning

The course is supported by on-line LMS (Learning Management System).

Další požadavky na studenta

Not required by teachers.

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

Course content: 1. Basic terms and properties of time series. 2. Dynamics of economic time series. Graphical analysis of time series. 3. Transformation of economic time series, substitution of missing values, outliers and extreme values. 4. Classical model of economic time series (trend, cycle, seasonality). 5. Basic trend models. Basic models of seasonal component and seasonal adjustment methods. 6. Verification of estimated model. 7. Adaptive models of economic time series. Moving averages. Exponential smoothing. 8. Principles of prediction and prediction criteria. 9. Basics of Box-Jenkins methodology.

Conditions for subject completion

Full-time form (validity from: 2011/2012 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Exercises evaluation Credit 85 (85) 44
        Test 1 Written test 50  26
        Test 2 Project 35  18
Mandatory attendence parzicipation: Účast na přednáškách je doporučená, na cvičeních je alespoň 80%.

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Occurrence in study plans

Academic yearProgrammeField of studySpec.FormStudy language Tut. centreYearWSType of duty
2019/2020 (B6202) Economic Policy and Administration (6210R004) European Integration P Czech Ostrava 2 Choice-compulsory study plan
2019/2020 (N6202) Economic Policy and Administration (6202T055) Public Economics and Administration P Czech Ostrava 2 Choice-compulsory study plan
2018/2019 (N6202) Economic Policy and Administration (6202T055) Public Economics and Administration P Czech Ostrava 2 Choice-compulsory study plan
2018/2019 (N6202) Economic Policy and Administration (6202T027) National Economy P Czech Ostrava 1 Choice-compulsory study plan
2018/2019 (B6202) Economic Policy and Administration (6210R004) European Integration P Czech Ostrava 2 Choice-compulsory study plan
2017/2018 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava Choice-compulsory study plan
2017/2018 (N6202) Economic Policy and Administration (6202T027) National Economy P Czech Ostrava 1 Choice-compulsory study plan
2017/2018 (N6202) Economic Policy and Administration (6202T055) Public Economics and Administration P Czech Ostrava 2 Choice-compulsory study plan
2017/2018 (B6202) Economic Policy and Administration (6210R004) European Integration P Czech Ostrava 2 Choice-compulsory study plan
2016/2017 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava Choice-compulsory study plan
2016/2017 (B6202) Economic Policy and Administration (6202R027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2016/2017 (B6202) Economic Policy and Administration (6210R004) European Integration P Czech Ostrava Choice-compulsory study plan
2016/2017 (N6202) Economic Policy and Administration (6210T004) European Integration P Czech Ostrava 1 Choice-compulsory study plan
2015/2016 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava Choice-compulsory study plan
2015/2016 (B6202) Economic Policy and Administration (6202R027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2015/2016 (B6202) Economic Policy and Administration (6210R004) European Integration P Czech Ostrava Choice-compulsory study plan
2015/2016 (N6202) Economic Policy and Administration (6210T004) European Integration P Czech Ostrava 1 Choice-compulsory study plan
2014/2015 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava Choice-compulsory study plan
2014/2015 (B6202) Economic Policy and Administration (6210R004) European Integration P Czech Ostrava Choice-compulsory study plan
2014/2015 (N6202) Economic Policy and Administration (6210T004) European Integration P Czech Ostrava 1 Choice-compulsory study plan
2014/2015 (B6202) Economic Policy and Administration (6202R027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (B6202) Economic Policy and Administration (6210R004) European Integration P Czech Ostrava Choice-compulsory study plan
2013/2014 (B6202) Economic Policy and Administration (6210R004) European Integration (00) European Integration P Czech Ostrava Choice-compulsory study plan
2013/2014 (B6202) Economic Policy and Administration (6202R027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava 3 Choice-compulsory study plan
2012/2013 (B6202) Economic Policy and Administration (6202R027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2012/2013 (B6202) Economic Policy and Administration (6210R004) European Integration (00) European Integration P Czech Ostrava 3 Choice-compulsory study plan
2012/2013 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava 2 Choice-compulsory study plan
2011/2012 (B6208) Economics and Management (6208R020) Business Economics (00) Business Economics P Czech Ostrava Choice-compulsory study plan
2011/2012 (B6208) Economics and Management (6208R062) Marketing and Business (01) Marketing and Business P Czech Ostrava 2 Choice-compulsory study plan
2011/2012 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava Choice-compulsory study plan
2011/2012 (B6202) Economic Policy and Administration (6202R027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2011/2012 (B6208) Economics and Management (6208R020) Business Economics (01) Business Economics P Czech Valašské Meziříčí Choice-compulsory study plan
2010/2011 (B6209) Systems Engineering and Informatics (6209R001) Applied Informatics (00) Applied Informatics P Czech Ostrava 2 Compulsory study plan
2010/2011 (B6208) Economics and Management (6208R062) Marketing and Business (01) Marketing and Business P Czech Ostrava 2 Choice-compulsory study plan
2010/2011 (B6208) Economics and Management (6208R020) Business Economics (00) Business Economics P Czech Ostrava 2 Choice-compulsory study plan
2010/2011 (B6202) Economic Policy and Administration (6202R040) Regional Development P Czech Ostrava 2 Choice-compulsory study plan
2010/2011 (N6202) Economic Policy and Administration (6202T040) Regional Development (00) Regional Development P Czech Ostrava 1 Choice-compulsory study plan
2010/2011 (B6202) Economic Policy and Administration (6202R027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2010/2011 (B6208) Economics and Management (6208R020) Business Economics (01) Business Economics P Czech Valašské Meziříčí 2 Choice-compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner