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.
- 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