Forecasting Time Series Data

Course Staff

Instructor

Prof. Perry (pperry@stern.nyu.edu)

Office Hours: Thursday, 1:30 PM–3:00 PM, KMC 8-63 (or by appointment)

Teaching Fellow

Sen Tian (stian@stern.nyu.edu)

Office Hours: Monday and Tuesday, KMC 3-60, 4:30 PM–5:30 PM

Lecture Slides

• Introduction (Rmd; Simplified Rmd)
• Simple Stationary Processes (Rmd)
• Autocorrelation (Rmd)
• Stationary and Nonstationary AR Models (Rmd)
• Model Identification with ACF, PACF (Rmd)
• Analysis of the Google Series (Rmd)
• Analysis of the Housing Starts Series (Rmd)
• Bootstrap Forecast Intervals (Rmd)
• Seasonal Models (Rmd)
• Coca-Cola Revenue Analysis (Rmd)
• Chaos (Rmd)
• NASDAQ Analysis (Rmd)
• ARCH Models (Rmd)
• Simulating ARCH Models (Rmd)
• General Motors Volatility (Rmd)
• Fitting and Diagnostic Checking for ARCH Models (Rmd)
• Bear Stearns Data Analysis (Rmd)
• NASDAQ ARCH Analysis (Rmd)
• GARCH Option Pricing (Rmd)
• Long Memory (Rmd)
• Estimating Average Inflation (Rmd)
• Unit Root Tests & Cointegration (Rmd)

Lecture Videos

• Feb 7
• Feb 14
• Feb 21
• Feb 28
• Mar 7
• Mar 21
• Mar 28
• Apr 4
• Apr 11
• Apr 18
• Apr 25
• May 2

Handouts and Links

• Syllabus
• Install R (Mac)
• Install R (Windows)
• Install RStudio Desktop
• Cliff Hurvich's Forecasting Notes
• Introduction to R (pdf; Rmd)

Assignments

• Homework 1 (Due Feb. 14)
  • prob1.Rmd
  • prob2.Rmd
  • dow.csv
  • euro.csv
• Homework 2 (Due Feb. 21)
  • probs1to3.Rmd
  • russell.csv
• Warmup for HW2 and HW3 (do but don't turn in)
• Homework 3 (Due Feb. 28)
• Homework 4 (Updated Mar. 3; Due Mar. 7)
  • probs2to5.Rmd
  • cpi.csv
  • gdp.csv
  • housingstarts.csv
• Homework 5 (Due Mar. 21)
  • hw05.Rmd
  • unemployment.csv
• Project 1 (Due Apr. 4)
• Homework 6 (Due Apr. 11)
  • hw06.Rmd
  • chaos1.csv
  • chaos2.csv
• Homework 7 (Due Apr. 18)
• Homework 8 (Due Apr. 25)
  • hw08.Rmd
  • rupee.csv
• Project 2 (Due May 2)
• Dickey-Fuller Table