Time Series Analysis, Lecture 7: Autocorrelation and Stationarity
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Time Series Analysis, Lecture 7: Autocorrelation and Stationarity
This lecture highlights lots of statistical tests that can be used to test for whether or not a time series is stationary and whether or not a time series has significant autocorrelation. The tests considered include the Box-Pierce and Ljung-Box test, the Durbin-Watson test, the Breusch-Godfrey test, the Augmented Dicky-Fuller test, and the ...
1.9K viewsFeb 28, 2022
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