Lesson 13: Fractional Differencing and Threshold Models
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