Section: 1. Statsionaarsed aegread, ühemõõtmelised mudelid | MEM5240 Finantsökonomeetria (2026 kevad)

ARIMA mudelid. ARIMAX mudelid. Sesoonsed SARIMA mudelid. Spektraalanalüüs. Sesoonne filtreerimine. Sesoonne korrigeerimine.

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1. loengu slaidid File PDF
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  Select activity General seasonal ARIMA models
  
  General seasonal ARIMA models URL
  
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  ARIMA models with regressors URL
  
  Select activity Brooks "Introductory Econometrics in Finance", ch 6 Univariate Time-Series Modelling and Forecasting
  
  Brooks "Introductory Econometrics in Finance", ch 6 Univariate Time-Series Modelling and Forecasting File PDF
  
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  Täht, M. Aegridade sesoonne korrigeerimine File PDF
  
  Select activity R. Kangro "Aegridade analüüs"
  
  R. Kangro "Aegridade analüüs" URL
  
  Ptk 4 ja 5.
  
  Select activity Quarterly National Account Manual (2017). IMF. Ch 7. Seasonal Adjustment
  
  Quarterly National Account Manual (2017). IMF. Ch 7. Seasonal Adjustment URL
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  Ülesanded 1
  
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  Modified 3/02/26, 12:04
  
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Enesekontrolli test 1: statsionaarsed aegread, ühemõõtmelised mudelid Quiz

Students must

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  Tutvumine programmiga Stata. 2 videot
  
  Valikaine Ökonomeetria MEM5250 10. teema "Tutvumine programmiga Stata" materjalid. Kes seda ainet ei võtnud, võib nende videotega tutvuda enne 1. harjutustundi või ka pärast, kordamiseks.
  
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  Select activity Ülesande 10.1 lahendamine
  
  Ülesande 10.1 lahendamine File MP4
  
  Students must
  
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  Video 52 min. Andmefail auto.dta Stata näidisfalide hulgast.
  Andmete ja tunnustega tutvumine, kirjeldav statistika, sagedustabelid, korrelatsioonimaatriks, hajumisdiagramm, regressioonmudeli hindamine (OLS), mudeli testimine, jääkliikmete salvestamine ja testimine, mudelväärtuste leidmine.
  
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  Ülesande 10.2 lahendamine File MP4
  
  Students must
  
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  Video 36 min. Andmefail EestiTHHI.dta
  Ühikjuure testimine. Diferentside leidmine. Korrelogrammid. ARIMA modelleerimine. Prognoosimine. MAPE arvutamine.
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  1. loengu videod aastast 2025
  
  Select activity Osa 1. ARIMA, ARIMAX, SARIMA
  
  Osa 1. ARIMA, ARIMAX, SARIMA File MP4
  
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  Select activity Osa 2. Spektraalanalüüs. Sesoonne filtreerimine. Sesoonne korrigeerimine.
  
  Osa 2. Spektraalanalüüs. Sesoonne filtreerimine. Sesoonne korrigeerimine. File MP4
  
  Students must
  
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February 2026

1. Statsionaarsed aegread, ühemõõtmelised mudelid

Section outline

Lisalugemist

Ülesanded 1

Tutvumine programmiga Stata. 2 videot

1. loengu videod aastast 2025