TIME SERIES ANALYSIS APPLICATION: INFLATION FORECASTING

The following sections are included:

• Key Points of Learning

• STATIONARY PROCESSES

• AUTOREGRESSIVE PROCESS

• MOVING AVERAGE PROCESS

• AUTOREGRESSIVE MOVING AVERAGE PROCESS

• CHANGING CONDITIONAL MEANS

• SAMPLE AUTOCORRELATION FUNCTION

• TEST OF ZERO AUTOCORRELATIONS FOR AR(1)

• ARMA(P, Q) PROCESSES

• PARTIAL AUTOCORRELATION FUNCTION

• GDP GROWTH

• ARIMA

• MODELLING INFLATION RATES

• PROBLEM SET

• FURTHER RECOMMENDED READINGS