Introduction to Time Series

Time series constitute a prevalent data type in several disciplines, notably macroeconomics and finance. The modeling of time series is crucial for many purposes, including forecasting, understanding macroeconomic mechanisms, and risk assessment. This course proposes an introduction to time series analysis. It has been developed by Jean-Paul Renne and Alain Monfort.

Codes associated with this course are part of the TSModels package, which is available on GitHub. To load a package from GitHub, you need to use function install_github from the devtools package:

install.packages("devtools") # in case you do not have that one.
library(devtools)
install_github("jrenne/TSModels")
library(TSModels)

Useful (R) links:

• Download R:

  • R software: https://cran.r-project.org (the basic R software)
  • RStudio: https://www.rstudio.com (a convenient R editor)

• Tutorials:

  • Rstudio: https://dss.princeton.edu/training/RStudio101.pdf (by Oscar Torres-Reyna)
  • R: https://cran.r-project.org/doc/contrib/Paradis-rdebuts_en.pdf (by Emmanuel Paradis)
  • My own tutorial: https://jrenne.shinyapps.io/Rtuto_publiShiny/