The presentation in this post covers a number of important topics in forecasting, including:

  • Stationary processes and random walks
  • Unit roots and autocorrelation
  • ARMA models
  • Seasonality
  • Model testing
  • Forecasting
  • Dickey-Fuller and Phillips-Perron tests for unit roots

Also included are a number of detailed worked examples, including:

  1. ARMA Modeling
  2. Box Jenkins methodology
  3. Modeling the US Wholesale Price Index
  4. Pesaran & Timmermann study of excess equity returns
  5. Purchasing Power Parity