151-0350/02 – Time Series Analysis (AČŘ)

Gurantor department	Department of Mathematical Methods in Economics	Credits	4
Subject guarantor	doc. Ing. Petr Seďa, Ph.D.	Subject version guarantor	doc. Ing. Petr Seďa, Ph.D.
Study level	undergraduate or graduate	Requirement	Compulsory
Year	2	Semester	summer
		Study language	Czech
Year of introduction	2010/2011	Year of cancellation	2012/2013
Intended for the faculties	EKF	Intended for study types	Bachelor

Instruction secured by
Login	Name	Tuitor	Teacher giving lectures
SED02	doc. Ing. Petr Seďa, Ph.D.

Extent of instruction for forms of study
Form of study	Way 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

1st Preparation and submission of homework. 2nd Successful completion of ongoing testu1. 3rd Successful completion of the final testu2. Deadlines for submission of homework and deadlines and testu1 testu2 timetable are given subject. Each test is one possible opakovta. Successful completion is achieved at least half the possible points in each test and assignment.

E-learning

http://moodle.vsb.cz/

Other requirements

not any additional requirements

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

- Basic concepts and properties of time series. - Measures the dynamics of economic time series. - Transformation of time series, replacing missing values, remote and extreme values. - The classical model of economic time series (trend, cycle, seasonality). - The trend models. - Basic models of seasonal ingredients and seasonal adjustment methods. - Analysis of the residual component and the Durbin-Watson test of autocorrelation. - Principles of forecasts and predictions of success criteria. - Introduction to Box-Jenkins methodology of modeling economic time series.

Conditions for subject completion

Full-time form (validity from: 2011/2012 Summer semester, validity until: 2012/2013 Summer semester)

Task name	Type of task	Max. number of points (act. for subtasks)	Min. number of points	Max. počet pokusů
Exercises evaluation	Credit	85	51	2

Mandatory attendence participation: Účast na přednáškách je doporučená, na cvičeních je alespoň 80%.

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Conditions for subject completion and attendance at the exercises within ISP:

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Occurrence in study plans

Academic year	Programme	Branch/spec.	Spec.	Zaměření	Form	Study language	Tut. centre	Year	W	S	Type of duty
2012/2013	(B6209) Systems Engineering and Informatics	(6209R001) Applied Informatics	(00) Applied Informatics		P	Czech	Ostrava	2			Compulsory	study plan

Occurrence in special blocks

Block name	Academic year	Form of study	Study language	Year	W	S	Type of block	Block owner

Assessment of instruction

Předmět neobsahuje žádné hodnocení.