Model Selection in ARMA(p,q) Processes

John D. Levendis
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John D. Levendis: Loyola University New Orleans

Chapter Chapter 3 in Time Series Econometrics, 2023, pp 49-83 from Springer

Abstract: Abstract Most time series methods are only valid if the underlying time series is stationary. A time series is stationary if its mean, variance, and autocovariance do not rely on the particular time period. In this chapter, we derive the conditions under which a process is stationary, and show some implications of this stationarity. To answer these questions we will learn about the so-called Box-Jenkins approach of comparing empirical autocorrelation functions and partial autocorrelation functions with their theoretical counterparts.

Date: 2023
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DOI: 10.1007/978-3-031-37310-7_3

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