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:
- ARMA Modeling
- Box Jenkins methodology
- Modeling the US Wholesale Price Index
- Pesaran & Timmermann study of excess equity returns
- Purchasing Power Parity
Forecasting 2011 - Time Series