Time Series & Econometrics 1998-99

Time Series & Econometrics
Time Series Notes 1998-99

Russell Gerrard
Department of Actuarial Science and Statistics
City University, London, UK

These notes should more or less keep pace with the course. They are almost identical to the slides used in lectures.

You will be getting approximately 18 lectures on Time Series from Dr Gerrard, 12 lectures on Econmetrics from Mr Ismail.
The Friday lectures will be retimetabled later in the term.

From next year (1999-2000) this module will form half of the requirement for Institute / Faculty of Actuaries exemption subject 103 (Stochastic Modelling), the other half being the Stochastic Processes module. Students who have not achieved all 8 exemptions by September 1999 will need to pass subject 103 at some future time.

Table of Contents

  1. Introduction
  2. Stationary models
  3. Estimation and forecasting
  4. Conducting an analysis
  5. Multivariate time series

Index of datasets for lab sessions

Data for Coursework 1