QA 11. Non-Stationary Time Series

Learning Objectives

1) Describe linear and nonlinear time trends.

2) Explain how to use regression analysis to model seasonality.

3) Describe a random walk and a unit root.

4) Explain the challenges of modeling time series containing unit roots.

5) Describe how to test if a time series contains a unit root.

6) Explain how to construct an h-step-ahead point forecast for a time series with seasonality.

7) Calculate the estimated trend value and form an interval forecast for a time series.