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Stationarity Testing and Other Time Series Topics

This course addresses a basic question in time series modeling and forecasting: whether a time series is nonstationary. This question is addressed by the unit root tests. One of the most common...

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$500 USD GSA  $442.93
Course Code BADD
Duration 3.5 hours
Available Formats Classroom

This course addresses a basic question in time series modeling and forecasting: whether a time series is nonstationary. This question is addressed by the unit root tests. One of the most common tests, the Dickey-Fuller test, is discussed in this lecture.

Skills Gained

  • test for stationarity and understand its importance
  • deal with trends and seasonality
  • forecast nonstationary series.

Who Can Benefit

  • Forecasters, researchers in finance, and anyone who is modeling data taken over time

Course Details

What Is Stationarity?

Augmented Models and Tests

Including a Linear Trend

Cointegration