Instructional Video: Nonstationary Time Series

Topic Progress:

Diebold, Chapters 5 and 6 is a 29 minute instructional video analyzing the following concepts:

Chapter 5: Modeling and Forecasting Trend

* Linear and nonlinear trends.
* Trend models to estimate and forecast trends
* Model selection criteria, including mean squared error (MSE), s2, the Akaike information criterion (AIC), and the Schwarz information criterion (SIC).

Chapter 6: Modeling and Forecasting Seasonality

* Explain how to use regression analysis to model seasonality.
* Explain how to construct an h-step-ahead point forecast.

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