Week 7: ARIMA models

What you will learn this week

  • Stationarity and differencing
  • Unit root tests

Pre-class activities

Read Sections 9.1-9.4 of the textbook and watch all embedded videos

Exercises (on your own or in tutorial)

Complete Exercises 5,8-15 from Section 8.8 of the book.

Solutions to Exercises

Slides for seminar

Download pdf

Seminar activities

  1. Does differencing make the Closing stock price series stationary for Amazon and Apple stocks?
  2. What sorts of transformations and differencing are needed to make the Gas series from aus_accommodation stationary?
  3. Do the unit root tests for the Gas series from aus_accommodation. Do they give the same numbers of difference as you chose?

R code used in seminar