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LECTURES IN TIME-SERIES ANALYSIS

AND FORECASTING

by

D.S.G. Pollock

Queen Mary and Westfield College,

The University of London

These two booklets contain some of the material of the courses titled "Methods of Time-Series Analysis" and "Economic Forecasting" which have been taught in the Department of Economics of Queen Mary College in recent years. The material is presented in the form of a series of ten lectures for a course given at the Institute for Advanced Studies in Vienna titled A Short Course in Time-Series Analysis.

Book 1

  1. Trends in Economic Time Series
  2. Seasons and Cycles in Time Series
  3. Models and Methods of Time-Series Analysis
  4. Time-Series Analysis in the Frequency Domain
  5. Linear Stochastic Models

Book 2

  1. State-Space Analysis and Structural Time-Series Models
  2. Forecasting with ARIMA Models
  3. Identification and Estimation of ARIMA Models
  4. Identification and Estimation in the Frequency Domain
  5. Seasonality and Linear Filtering

 

EXERCISES