Model Selection in Autoregressive Moving Average (ARMA) Models

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In the video we discuss the properties of the moving average process with q lags, MA(q). We explain how to derive the unconditional mean, variance, and autocovariances of the process. We derive an expression for the autocorrelation function and show that the process has a memory of exactly q periods.
  1. Morten Nyboe Tabor
  2. econometrics
  3. time series
  4. ARMA
  5. model selection
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You are great but you have to reduce your speed and sometime you skip some concepts like why the characteristics roots plays the role in stationarity. Similarly what is unit root circle, How it is constructed etc.

muhammadsohail