Lesson 13: Fractional Differencing and Threshold Models
- Read Sections 5.2 and 5.5 of your text.
- Read through the Lesson 13 online notes that follow.
- Complete Lesson 13 Assignment.
This week we'll look at two variations of ARIMA models - long memory models (fractional differences) and threshold models (regime switching models).
After successfully completing this lesson, you should be able to:
- Identify and interpret simple fractionally differenced models
- Recognize when to take first differences vs. fractional differences
- Identify and interpret ARFIMA models
- Apply different models within two intervals of a time series