Definition and explanation of the Autocorrelation Function (ACF)
A detailed examination of the partial autocorrelation function (PACF), explaining its meaning and significance in time series analysis.
A method used to transform an infinite geometric lag model into a finite model with a lagged dependent variable.
A statistical test used to determine the presence of unit root in time series data, thus helping in analysis of data stationarity.
Covariance between a random variable and its lagged values in time series analysis
A sequence of autocovariances of a covariance stationary time series process as a function of the lag length.
Understanding the concept of cointegration in time series analysis, particularly in relation to non-stationary variables that share a common stochastic trend.
Understanding the concept of covariance stationary process in time-series analysis, including its definition, historical development, and analytical frameworks in economics.
Detrending: Definition, Methods, and Analytical Frameworks in Economics
A statistical test used to determine if a time series is a random walk or stationary.
Definition and explanation of the lag operator in economics.
A detailed exploration of the moving average process MA(q), a key concept in time series analysis
The minimum number of times it is necessary to difference a non-stationary time series to produce a stationary series.
The definition and meaning of Partial Autocorrelation Coefficient in econometrics and time series analysis.
Definition of persistence and its significance in time series analysis, particularly focusing on serial correlation or autocorrelation.
An overview of strongly stationary processes in the context of stochastic processes.
An advanced econometric model for analyzing multivariate non-stationary time series.
An entry exploring the concept of white noise, particularly within economic contexts such as time series analysis and autoregressive moving average models.
A fundamental theorem in time series analysis that decomposes a zero-mean covariance stationary stochastic process into a deterministic and a non-deterministic part.
Difference equations relating the autocorrelation coefficients of an autoregressive process to the coefficients on the lags.
