Use the Box-Jenkins methodology to select an ARIMA model.
Estimate the ACF and PACF, or conduct the Ljung-Box Q-test.
Test for autocorrelation in the squared residuals, or conduct Engle’s ARCH test.
Conduct unit root tests on time series data.
Check whether a linear time series is a unit root process.
The Engle-Granger test for cointegration and its limitations.
Learn about the Johansen test for cointegration.
Check the model assumptions for a Chow test.
Estimate the power of a Chow test using a Monte Carlo simulation.
Understand model-selection techniques and Econometrics Toolbox™ features.
The Box-Jenkins methodology is a five-step process for identifying, selecting, and assessing conditional mean models (for discrete, univariate time series data).
Autocorrelation and partial autocorrelation measure is the linear dependence of a variable with itself at two points in time.
The Ljung-Box Q-test is a quantitative way to test for autocorrelation at multiple lags jointly.
Engle’s ARCH test is a Lagrange multiplier test to assess the significance of ARCH effects.
Learn how to model a unit root process or test for one.
Learn the characteristics of vector autoregression models and how to create them.
Learn about cointegrated time series and error correction models.