Time Series Analysis with R – Part I (Linear Time Series Models) (GGG)



Target group:
PhD students of the five faculties of the Göttingen Graduate School of Social Science/ Göttinger Graduiertenschule Gesellschaftswissenschaften (GGG)
PhD-Candidates of the Graduate School of Humanities Göttingen and members of the Schlözer-PhD-Program might participate too, if free seats will be available.


Type of training:
multi-day workshop


Schedule:
Mon. 23.07. - Wed. 25.07.
(10:00 – 15:00)


Place:
Historische Sternwarte (Tagungszentrum) / Historical Observatory (Conference Centre)

Available seats: 10
Course language: English
Requirements: PhD-students require a good command of spoken English.
Prior knowledge of R is not required. However, the participants are supposed to be familiar with basic statistics (e.g. from introductory courses in statistics or econometrics).
Teachers: Dr. Oleg Nenadic / Julia Furche
Institute for Statistics and Econometrics


Seminar’s objectives:
This course is primarily aimed for PhD students from the faculties participating in the GGG and who plan to conduct empirical analyses of time series within their PhD project. Prior knowledge of R is advisable, but not a strict requirement. However, the participants are supposed to be familiar with basic statistics (e.g. from introductory courses in statistics or econometrics).
The freely available statistical software environment R has established itself as a de-facto standard in many areas of statistics over the last years. The aim of this workshop is to provide an introduction to modelling time series with R.
The number of participants is limited to 10. The participants are supposed to bring their own laptops. In order to obtain a course certificate it is necessary to actively participate in the workshop and to hand in a report (approx. 12 pages).

Course schedule (tentative)
• Monday (Jul 23), 10:00-12:00 and 13:00-15:00
- Fundamentals of R (brief)
- Linear filtering of time series, decomposition, regression models for time series
• Tuesday (Jul 24), 10:00-12:00 and 13:00-15:00
- Exponential smoothing in R
- Forecasting time series, backtesting and advanced topics
• Wednesday (Jul 25), 10:00-12:00 and 13:00-15:00
- ARIMA models, model identification, fitting and diagnostic checking in R
- Extensions and outlook to part II (non-linear and state space time series models)

The topics of the workshop will be adjusted to the interests of the participants.



Credits: 2 Credits
Demands: In order to obtain a course certificate it is necessary to actively participate in the workshop and to hand in a report (approx. 12 pages).


Application:
Application starts 14.05.12 (until 18.06.12)
Application only via: ggg.kursanmeldung@uni-goettingen.de
Contact for more information: Christina Qaim, Phone: +551 39-10630




This course is organised by the KMU-Netzwerk der GGG and funded by the European Union (European regional development fund (ERDF)).

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