151-0350/03 – Time Series Analysis (AČŘ)

Gurantor departmentDepartment of Mathematical Methods in EconomicsCredits5
Subject guarantorIng. Petr Seďa, Ph.D.Subject version guarantorIng. Petr Seďa, Ph.D.
Study levelundergraduate or graduate
Study languageCzech
Year of introduction2013/2014Year of cancellation
Intended for the facultiesEKFIntended for study typesBachelor
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 and Examination 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

1st Preparation and submission of homework (project). 2nd Successful completion of the final test. 3rd Successful completion of exam.

E-learning

http://lms.vsb.cz/

Další požadavky na studenta

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: 2013/2014 Summer semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Exercises evaluation and Examination Credit and Examination 100 (100) 51
        Exercises evaluation Credit 45 (45) 23
                Test Written test 30  16
                Project Project 15  7
        Examination Examination 55 (55) 28
                Practical test Written examination 40  20
                Theoretical test Written examination 15  8
Mandatory attendence parzicipation: Účast na přednáškách je doporučená, na cvičeních je alespoň 80%.

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.FormStudy language Tut. centreYearWSType of duty
2019/2020 (B6209) Systems Engineering and Informatics (6209R017) Informatics in Economics P Czech Ostrava 2 Compulsory study plan
2018/2019 (B6209) Systems Engineering and Informatics (6209R017) Informatics in Economics P Czech Ostrava 2 Compulsory study plan
2017/2018 (B6209) Systems Engineering and Informatics (6209R017) Informatics in Economics P Czech Ostrava 2 Compulsory study plan
2016/2017 (B6209) Systems Engineering and Informatics (6209R017) Informatics in Economics P Czech Ostrava 2 Compulsory study plan
2015/2016 (B6209) Systems Engineering and Informatics (6209R017) Informatics in Economics P Czech Ostrava 2 Compulsory study plan
2015/2016 (B6209) Systems Engineering and Informatics (6209R017) Informatics in Economics P Czech Uherské Hradiště 2 Compulsory study plan
2014/2015 (B6209) Systems Engineering and Informatics (6209R017) Informatics in Economics P Czech Ostrava 2 Compulsory study plan
2013/2014 (B6209) Systems Engineering and Informatics (6209R025) System Engineering and Informatics P Czech Ostrava 2 Compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner
Subject block without study plan - EKF - P 2014/2015 Full-time Czech Optional EKF - Faculty of Economics stu. block