Time Series Analysis

  1. Stationarity and Unit Root Analysis
    1. Concepts of Stationarity
      1. Strict Stationarity
        1. Weak Stationarity
          1. Covariance Stationarity
            1. Trend Stationarity vs. Difference Stationarity
            2. Importance of Stationarity
              1. Model Assumptions
                1. Forecasting Implications
                  1. Statistical Inference
                  2. Identifying Non-Stationarity
                    1. Visual Methods
                      1. Time Series Plots
                        1. ACF Behavior
                          1. Rolling Statistics
                          2. Statistical Indicators
                            1. Variance Changes
                              1. Mean Changes
                                1. Correlation Structure
                              2. Unit Root Tests
                                1. Augmented Dickey-Fuller Test
                                  1. Test Specifications
                                    1. Critical Values
                                      1. Lag Selection
                                        1. Interpretation
                                        2. Phillips-Perron Test
                                          1. Non-Parametric Corrections
                                            1. Comparison with ADF
                                            2. KPSS Test
                                              1. Null Hypothesis of Stationarity
                                                1. Test Statistics
                                                  1. Critical Values
                                                  2. Other Unit Root Tests
                                                    1. Elliott-Rothenberg-Stock Test
                                                      1. Ng-Perron Tests
                                                    2. Achieving Stationarity
                                                      1. Detrending Methods
                                                        1. Linear Detrending
                                                          1. Polynomial Detrending
                                                            1. Hodrick-Prescott Filter
                                                            2. Differencing
                                                              1. First Differencing
                                                                1. Seasonal Differencing
                                                                  1. Over-Differencing Issues
                                                                  2. Transformation Methods
                                                                    1. Logarithmic Transformation
                                                                      1. Box-Cox Transformation
                                                                    2. Structural Breaks
                                                                      1. Detection Methods
                                                                        1. Chow Test
                                                                          1. CUSUM Tests
                                                                            1. Handling Structural Breaks

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                                                                          3. Descriptive Analysis and Decomposition

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                                                                          5. Autocorrelation and Dependence Structure