Stationarity Testing and Other Time Series Topics
Автор Dave Dickey, Ph.D., professor of statistics at North Carolina State University
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.Изучается
АудиторияForecasters, researchers in finance, and anyone who is modeling data taken over time
Используется SAS/ETS ПО
What Is Stationarity?