Partial Autocorrelation: φ₁₁, φ₂₂ and Reading the Model Order from ACF and PACF
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Lessons in this course
- Stationarity by Numbers: Rolling Means, Rolling Spreads and a Simple Verdict Pro
- Differencing: First Differences, Seasonal Differences (Lag 12) and Both Together Pro
- Autocorrelation by Hand: ACF at Lags 1–6 with SUMPRODUCT and the ±2/√n Band Pro
- Partial Autocorrelation: φ₁₁, φ₂₂ and Reading the Model Order from ACF and PACF Pro
- AR(1) by Hand: Fit φ with SLOPE, Build the Constant and Forecast One Step Ahead Pro
- MA(1) by Hand: Residual Recursion with a Given θ, One-Step Forecasts and Shocks Pro
- ARIMA(1,1,0): Forecast the Differences and Integrate Back to Levels Pro
- Residual Checks & Model Choice: Residual ACF, Q Statistic, RMSE and an Information Score Pro