PinnedHughconomicsWelcomeThis blog is intended to provide good INTUITIONS in learning formal econometrics and economics. Formal mathematical definitions and proofs…Nov 25, 2021Nov 25, 2021
Hughconomics3. ARMA Process — EstimationWe are now ready to estimate ARMA models. Estimation, however, differs between an AR model and an MA model. Let’s first take a look at AR…Dec 27, 2021Dec 27, 2021
Hughconomics2. ARMA Process — IntroductionIn the last story, we discussed a concept named stationarity and how every stationary process can be expressed into an one-sided linear…Nov 27, 2021Nov 27, 2021
Hughconomics1. Stationarity and Wold’s DecompositionWhat is the most important feature in time series analysis? First let’s think of cross-sectional data. We usually assume independent (and…Nov 26, 2021Nov 26, 2021