IT412
Course Name:
Time Series Analysis (IT412) (2018 Curriculum)
Programme:
Category:
Credits (L-T-P):
Content:
Introduction, Stochastic Processes, Stationary Time Series Process (Time Domain), Univariate Analysis: Autoregressive (AR) Process. Moving Average (MA) Process, Autoregressive Moving Average (ARMA) Process, Causality, Multivariate Anbalysis: Autoregressive Distributed Lag (ARDL) Model, Vector Error Correction (VEC) Model, Vector Autoregressive (VAR) Model, Spectral Analysis (Frequency Domain), Non- Stationary Time Series Process, Unit Root Tests: Dickey-Fuller Test Phillips-Peron Test Elliott-Rothenberg-Stock Test, Schmidt-Phillips Test, Kwiatkowski-Phillips-Schmidt -Shin (KPSS) Test, Zivot-Andrews Test, Cointegration introduction and tests, ARCH GARCH Model, Generalized Method of Moments (GMM)