SYLLABUS  St 518  Fall 1994
Class time:  8:05 - 9:20        Room: HA 320
Dickey, Office hours:   Tues.  Thurs. 10-11
Monahan, Office hours:
Grader:

    The syllabus below lists topics.  We will use class notes mostly, but
relevant references are:
    Time Series Analysis by W. S. Wei (Addison Wesley)
    The SAS System for Forecasting Time Series by Brocklebank and Dickey
                                      (SAS Institute)


           Tues                     Thurs

                                    Aug. 25   Introduction
          Aug. 30  Regression       Sep.  1   Regression
          Sep.  6  Periodogram      Sep.  8   Periodogram
          Sep. 13  Periodogram      Sep. 15   Periodogram
          Sep. 20  (TEST 1)****     Sep. 22   AR models
          Sep. 27 AR models         Sep. 29   MA models
          Oct.  4 ARMA models       Oct.  6   ARMA models
          Oct. 11 ARMA models       Oct. 13   (TEST 2)****
          Oct. 18  (break)          Oct. 20  Nonstationary models
          Oct. 25 Mult. Spectra     Oct. 27  Mult. Spectra
          Nov.  1 Mult. Spectra     Nov.  3  Mult. Spectra
          Nov.  8 Mult. Spectra     Nov. 10  Mult. Spectra
          Nov. 15 Mult. Spectra     Nov. 17  Seasonal Models
          Nov. 22 Regn. AR errors   Nov. 24  Transfer Functions
          Nov. 29 Transfer Fns.     Dec.  1  Vector AR
          Dec.  6 Cointegration     Dec.  8  Cointegration

Final Exam: Thurs. Dec. 15 8:05-11:00 a.m. HA 320

Homework:  We will incorporate SAS computing assignments and class examples.
Computer accounts are available in SICL (B45 Nelson) we may hold some classes
there (this will be announced in advance).  The homeworks will count 20% of
your grade.  Please feel free to discuss homework and prepare for tests with a
study group.  We strongly encourage you to take this "group" approach.
However, each person should write up his/her own computer programs and
summaries of the output.  It is NOT acceptable to turn in a copy of someone
else's computer output and you should write your own code with help from your
friends when needed.


TESTS:  We will have two tests, a number of homework assignments, and a final
exam.  The final exam will be comprehensive.  For each test, you can bring one
standard sheet of paper with anything you want written on it (both sides).  For
the final exam you can bring up to two sheets if you like.  Other than that,
the tests will be closed book and notes.  Your grade will be calculated on this
basis: Test 1 25%, Test 2 25%, Final 30 %, Homework 20 %.