Lesson 1: Time Series Basics

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Assignments:

  • Read pages 1-10 and 28-33 of your text.
  • Read through the Lesson 1 online notes that follow.
  • Complete Lesson 1 Assignment.

Overview:

This first lesson will introduce you to time series data and important characteristics of time series data.  We will also begin some basic modelling.  Topics covered include first-order autoregressive models and the autocorrelation function.

Learning Objectives:

After successfully completing this lesson, you should be able to:

  • Identify important features on a time series plot
  • Identify and interpret an AR(1) model
  • Interpret an ACF
  • Identify a weakly stationary time series
  • Identify when and how to take first differences