| Course Unit Code | 151-0350/01 |
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| Number of ECTS Credits Allocated | 4 ECTS credits |
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| Type of Course Unit * | Choice-compulsory type B |
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| Level of Course Unit * | First Cycle |
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| Year of Study * | Second Year |
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| Semester when the Course Unit is delivered | Summer Semester |
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| Mode of Delivery | Face-to-face |
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| Language of Instruction | Czech |
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| Prerequisites and Co-Requisites | Course succeeds to compulsory courses of previous semester |
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| Name of Lecturer(s) | Personal ID | Name |
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| SED02 | doc. Ing. Petr Seďa, Ph.D. |
| Summary |
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| The course is focused on the analysis and forecasting of the dynamics of economic time series. Its main goal is to explain the most frequently used models and procedures for analysis of economic time series and their using in practice. These procedures are essential for decision making, planning, forecasting in the economy. Students attend seminars in computer labs. The SPSS and MS Excel software will be utilized. The course requires basic knowledge of probability theory and statistics. |
| Learning Outcomes of the Course Unit |
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Students will be able:
* to analyze and model the economic time series including forecasting,
* to explain the basic concepts and methods of modeling of economic time series.
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| Course Contents |
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Course content:
1. Basic terms and properties of time series.
2. Dynamics of economic time series. Graphical analysis of time series.
3. Transformation of economic time series, substitution of missing values, outliers and extreme values.
4. Classical model of economic time series (trend, cycle, seasonality).
5. Basic trend models. Trend approximation by mathematical functions.
6. Basic models of seasonal components, seasonal adjustment methods.
7. Verification of estimated model.
8. Adaptive models of economic time series. Moving averages.
9. Exponential smoothing.
10. Principles of forecast construction and prediction quality criteria.
11. Basics of the Box-Jenkins methodology.
12. Model construction in Box-Jenkins methodology.
13. SARIMA-type seasonal time series linear models. |
| Recommended or Required Reading |
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| Required Reading: |
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BOX, George, JENKINS, Gwilym and REINSE, Gregory. Time Series Analysis: Forecasting and Control. Springer; 4th edition, 2008. ISBN 978-0470272848.
BROCKWELL,Petr and DAVIS, Richard. Time Series: Theory and Methods. Springer; 2nd edition, 2009. ISBN 978-1441903198.
CHATFIELD,Chris. The Analysis of Time Series: An Introduction. Chapman & Hall; 6th edition, 2003. ISBN 978-1584883173.
KIRCHGÄSSNER, Gebhard, Jürgen WOLTERS a Uwe HASSLER. Introduction to modern time series analysis. 2nd ed. Berlin: Springer, 2013. Springer texts in business and economics. ISBN 978-3-642-33435-1. |
ARLT, Josef a Markéta ARLTOVÁ. Ekonomické časové řady. Praha: Professional Publishing, 2009. 290 s. ISBN 978-80-86946-85-6.
BOX, George, JENKINS, Gwilym and REINSE, Gregory. Time Series Analysis: Forecasting and Control. Springer; 4th edition, 2008. ISBN 978-0470272848.
FORBELSKÁ, Marie. Stochastické modelování jednorozměrných časových řad. Brno: Masarykova univerzita, 2009. 251 s. ISBN 978-80-210-4812-6.
HINDLS, Richard, Stanislava HRONOVÁ, Jan SEGER a Jakub FISHER, J. Statistika pro ekonomy. Praha: Professional Publishing, 2007. 415 s. ISBN 978-80-86946-43-6.
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| Recommended Reading: |
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BISGGARD, Soren. – KULAHCI, Murat. Time Series Analysis and Forecasting by Example. Wiley; 1st edition, 2011. ISBN 978-0-470-54064-0.
SHOWMAN, Robert H. – STOFFER, David S. Time Series Analysis and Its Applications: With R Examples. Springer; 3rd edition, 2011. ISBN 978-1441978646.
WOODWARD, Wayne A., Henry L. GRAY a Alan C. ELLIOTT. Applied time series analysis. Boca Raton: CRC Press, Taylor& Francis group, 2012. Statistics: textbooks and monographs. ISBN 978-1-4398-1837-4. |
ARLT, Josef, Markéta ARLTOVÁ a Eva RUBLÍKOVÁ. Analýza ekonomických časových řad s příklady. Praha: VŠE, 2002. 147 s. ISBN 80-245-0307-7.
CIPRA, Tomáš. Finanční ekonometrie. Praha: Ekopress, 2014. 538 s. ISBN 978-8086929934.
VINCÚR Pavol a Štefan ZAJAC. Úvod do prognostiky. Bratislava: SPRINT-vfra, 2007. 389 s. ISBN 978-80-89085-85-9.
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| Planned learning activities and teaching methods |
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| Lectures, Tutorials, Other activities |
| Assesment methods and criteria |
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| Task Title | Task Type | Maximum Number of Points
(Act. for Subtasks) | Minimum Number of Points for Task Passing |
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| Exercises evaluation | Credit | 85 (85) | 44 |
| Test 1 | Written test | 50 | 26 |
| Test 2 | Project | 35 | 18 |