Course Page

Business Forecasting w/ Time Series Models

Course Number:

45912


Faculty

Fallaw Sowell, fs0v@andrew.cmu.edu


Program

MBA


Concentrations

Quantitative Analysis, Economics


Course Description

The goal of this course is to give students an introduction to the basic time series models. The students will learn the basic summary statistics i.e. autocovariances, trends and seasonal cycles. The course will focus on forecasting observed series and the estimation of both summary statistics and parameters of time series models such as ARMA ARCH and GARCH. The students should be able to interpret the uncertainty in the forecasts and in the estimated parameters.

Diagnostic statistics and model selection criteria will be presented.  Observed series will be used to demonstrate the different topics. The students will be graded on a series of individual assignments and a team project.  The team project will be in partnership with one other student.   The final paper will report estimated models and associated forecasts for an observed time series that the students select.  (10/12- FS)


Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

None