Preparations for Lecture 10, October 4

Lecture Note 4, Dynamic Models for Stationary Time Series, section 4, pages 15-20 (6 pages).

Verbeek, Introduction to Modern Econometrics, section 6-6.1.4 ("6 Maximum Likelihood and Specification Tests" and "6.1 Introduction to Maximum Likelihood"), pages 187-197, and section 8.6 ("8.6 Estimation of ARMA Models").

These parts of the lecture note and the textbook discuss how to select the relevant number of lags in ARMA models (including AR models, which are nested in ARMA models) and how to create forecasts and forecast variances based on such models.

Lecture Note 4, Dynamic Models for Stationary Time Series