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課程名稱 |
時間序列分析與預測
TIME SERIES ANALYSIS AND FORECASTING |
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開課學期 |
96-1 |
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授課對象 |
社會科學院 經濟學研究所 |
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授課教師 |
林建甫 |
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課號 |
ECON5005 |
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課程識別碼 |
323 U0550 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二5,6,7(12:20~15:10) |
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上課地點 |
社法13 |
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備註 |
與劉榮木合開
限學士班三年級以上 或 限碩士班以上
總人數上限：40人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/961tsaf |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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課程概述 |
This course focuses on time series analysis and its application (especially on forecasting and structural analysis) using the Box Jenkins approach. Single variable and multi variable time series analysis will be discussed. This course covers both theory and application, with more emphasis on the latter. A comprehensive and easy to use computer program (the SCA System) will be used to facilitate better understanding of the theory, methodology and application. Other software systems may also be used. |
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課程目標 |
Topics:
1. Overview of time series analysis and forecasting
2. Non-seasonal ARIMA models: model identification, estimation, diagnostic checking and forecasting
3. Seasonal ARIMA models: model identification, estimation, diagnostic checking and forecasting
4. Automatic ARIMA modeling using an expert system
5. Single-equation transfer function models: model identification, estimation, diagnostic checking and application
6. Automatic transfer function modeling using an expert system
7. Intervention analysis (impact study), outlier detection and adjustment
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課程要求 |
Prerequisite: It is assumed that the students have sufficient knowledge in basic statistical inference theory and linear regression analysis.
Grade: The grade will be based on the following categories:
1. Homework (30%)
2. Midterm exam (30%)
3. Project (40%)
Homework: Five to six homework assignments will be given. Assignments handed in late will be discounted.
Midterm Exam: Time to be arranged, to cover material to date.
Project: Each student must find his or her own data and analyze the data using the time series methodology related to the course topics. More detailed information will be provided in the class.
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預期每週課後學習時數 |
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Office Hours |
另約時間 |
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指定閱讀 |
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參考書目 |
Time Series Analysis and Forecasting. Lon-Mu Liu. Second Edition.
Scientific Computing Associates Corp. (Required) |
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評量方式
(僅供參考) |
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