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

Gurantor departmentDepartment of Mathematical Methods in EconomicsCredits4
Subject guarantordoc. Ing. Petr Seďa, Ph.D.Subject version guarantordoc. Ing. Petr Seďa, Ph.D.
Study levelundergraduate or graduateRequirementChoice-compulsory
Year2Semestersummer
Study languageCzech
Year of introduction2010/2011Year of cancellation
Intended for the facultiesEKFIntended for study typesFollow-up Master, Bachelor
Instruction secured by
LoginNameTuitorTeacher giving lectures
SED02 doc. 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 and REINSE, Gregory. Time Series Analysis: Forecasting and Control. Springer; 4th edition, 2008. ISBN 978-0470272848. BROCKWELL,Petr and DAVIS, Richard. Time Series: Theory and Methods. Springer; 2nd edition, 2009. ISBN 978-1441903198. CHATFIELD,Chris. The Analysis of Time Series: An Introduction. Chapman & Hall; 6th edition, 2003. ISBN 978-1584883173. KIRCHGÄSSNER, Gebhard, Jürgen WOLTERS a Uwe HASSLER. Introduction to modern time series analysis. 2nd ed. Berlin: Springer, 2013. Springer texts in business and economics. ISBN 978-3-642-33435-1.

Recommended literature:

BISGGARD, Soren. – KULAHCI, Murat. Time Series Analysis and Forecasting by Example. Wiley; 1st edition, 2011. ISBN 978-0-470-54064-0. SHOWMAN, Robert H. – STOFFER, David S. Time Series Analysis and Its Applications: With R Examples. Springer; 3rd edition, 2011. ISBN 978-1441978646. WOODWARD, Wayne A., Henry L. GRAY a Alan C. ELLIOTT. Applied time series analysis. Boca Raton: CRC Press, Taylor& Francis group, 2012. Statistics: textbooks and monographs. ISBN 978-1-4398-1837-4.

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).

Other requirements

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. Trend approximation by mathematical functions. 6. Basic models of seasonal components, seasonal adjustment methods. 7. Verification of estimated model. 8. Adaptive models of economic time series. Moving averages. 9. Exponential smoothing. 10. Principles of forecast construction and prediction quality criteria. 11. Basics of the Box-Jenkins methodology. 12. Model construction in Box-Jenkins methodology. 13. SARIMA-type seasonal time series linear models.

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 pointsMax. počet pokusů
Exercises evaluation Credit 85 (85) 44 2
        Test 1 Written test 50  26 2
        Test 2 Project 35  18 2
Mandatory attendence participation: Attendance at lectures is recommended. Attendance at exercises is at least 80%.

Show history

Conditions for subject completion and attendance at the exercises within ISP: Attendance at lectures and seminars is recommended. It is necessary to pass 1 written test and submission of the project, just like in the case of students without ISP.

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Occurrence in study plans

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2021/2022 (B0311A050015) Informatics in Economy P Czech Ostrava 2 Choice-compulsory type B study plan
2020/2021 (N6202) Economic Policy and Administration (6202T055) Public Economics and Administration P Czech Ostrava 2 Choice-compulsory study plan
2020/2021 (B0311A050015) Informatics in Economy P Czech Ostrava 2 Choice-compulsory type B study plan
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
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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
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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
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2010/2011 (B6209) Systems Engineering and Informatics (6209R001) Applied Informatics (00) Applied Informatics P Czech Ostrava 2 Compulsory study plan
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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
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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

Assessment of instruction



2019/2020 Summer
2017/2018 Summer
2015/2016 Summer