DYNAMIC / w1

The cross-section …
The time-series …
The panel data …

econometrician has

What is data?

Stochastic Process

Stochastic Process

White Noise

Stochastic Process

Constant Process

(Auto)covariance and (auto)correlation

Dependence vs Correlation

Expected Values and their Estimators

Stochastic processes: What do we want to know?

n = 1 problem

Solving n = 1

Solving n = 1: Elaborated

Dependence

Conditional Expectations

Information Set

Intermediate Summary

Covariance Stationarity

Covariance Stationarity

2 Examples

Trend Stationary

Deterministic Trend Stationary Processes

Examples

Random Walk Process

Difference between what we observe and the underlying theoretical process

Trend Stationary vs Difference Stationary

Covariance Stationary processes: AR, MA and ARMA

MA(1) process

Forecasting an MA(1)

Lag Operator

MA(q) process

MA(q) process

Properties

Invertibility of MA(q)

MA(∞) process

MA(∞) process

Properties