Autocorrelations and Autoregressive Models
Chapter Preview. This chapter continues our study of time series data. Chapter 7 introduced techniques for determining major patterns that provide a good first step for forecasting. Chapter 8 provides techniques for detecting subtle trends in time and models to accommodate these trends. These techniques detect and model relationships between the current and past values of a series using regression concepts.
Application: Inflation Bond Returns1
To motivate the introduction of methods in this chapter, we work in the context of the inflation bond return series. Beginning in January ...