Slides¶

Same as week 1
Univariate Time Series Analysis
Univariate Time Series Analysis (Print Optimized)

New this week
In-person Slides (pdf)
In-person Slides (web)
In-person Slides (Jupyter Notebook)

Data Files

Time Series Data (pandas HDF) used in the IPython notebook-based slides.

Practical Assignment 4¶

Due Friday 5th Week Hilary

Computational Assignment III
Demo Autograder (Jupyter Notebook)
Demo Autograder (Python)
Solutions Template

Executing code in jupyter slides

See the instructions for installing the mfe package to install some function used in the slides.

Weekly Assignment¶

Week 2 Assignment

Solutions

Week 2 Assignment Solution

Practice Quiz¶

Oxford MFE Students only (Canvas)

Week 2 Quiz

Pre-lecture content¶

Reading

The readings listed correspond to the pre-recorded content. You should either watch the pre-recorded content or read the notes prior to the Week 2 lecture.

Sections 4.9-4.11 and 4.13 from the Time Series Notes

Presentation

Oxford MFE Students only (Canvas)

1. The Information Set
2. Loss Functions
3. Forecasting
4. Mincer-Zarnowitz Tests
5. Diebold-Mariano Tests
6. Nonstationary Time Series
7. The Lag Operator
8. Seasonality
9. ARMA Modeling of Seasonality
10. Random Walks, Unit Roots and Stochastic Trends
11. Testing for Unit Roots
12. Seasonal Differencing
13. Self-Exciting Threshold Autoregression
14. Markov-Switching Models