Time Series Models in Economics

To predict variables of interest (Level 3(ish))

Description

This project aims to educate mentees about the various Time series models used
for forecasting in the field of economics (and other fields too). Students will learn
to apply the suitable time series model to a dataset, example Stock Prices and
forecast future trends. The focus is divided equally between theory and
implementation of these models.
Weekly plan (tentative)
Week 1-2 a. Probability and PDFs, PMFs etc
b. Normal distribution
c. Expectation, variance, covariance, correlation
d. Hypothesis testing
e. CLRM, OLS estimators, reading the regression table
f. Assignment : Problems on what’s been covered + python
regression assignment

Week 3 a. Autoregressive process of Order 1

b. Correlograms
c. Stationarity conditions and autocorrelation, partial correlation
functions
d. Assignment : Plotting and analyzing AR processes
 Weekly plan (tentative)
Week 4 a. Moving average processes (MA processes)
b. ARMA processes
c. Assignment : Plotting ARMA and MA processes using real datasets

Week 5 a. Non Stationary AR processes

b. General ARIMA Processes
c. Different forms of the ARIMA processes

Week 6 a. SARIMA process

b. Plotting GARCH, ARCH processes using real time data
c. Assignment : Plotting the above processes of real data using python and inferring
conclusions.
 Mentors : Gaurav Raj, Akshat
Gupta
Project Details Expected Duration : 6-7 weeks
Time Commitment : 8-9
hr/week
Pre-reqs : Probability and basic
statistics
Meets : 1-2 theory classes, 1
doubt class per week
 We’ll primarily be following two books,
Forecasting & control (Box and Jenkins) and
Time Series Analysis and Its Applications
(Shumway and Stoffer) along with some
Note
Tutorial Series online. For the python codes,
we’ll be using statsmodels.tsa package.