The workhorse models of time series, built up in sequence: the MA(∞) process, the AR(1) and its MA(∞) representation, the ARMA(1,1), and finally the general ARMA(p,q) with its stationarity conditions. This is the undergraduate treatment; a postgraduate version of the same material is also available below.
What these materials cover
- MA(∞) processes and convergence of coefficients
- AR(1): solving forward to the MA(∞) representation
- ARMA(1,1) and the general ARMA(p,q) family
- Stationarity conditions for ARMA processes
- How this lecture pairs with the estimation lecture that follows
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Free to download and use for personal study. Written for my own university teaching; shared here as evidence of teaching style and depth.
Lecture 2: ARMA(p,q) processes & stationarity (PDF)
Who this is for
Undergraduates covering ARMA for the first time; pairs with the postgraduate ARMA lecture for a more rigorous pass.
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Related free resources
- Time Series Econometrics — full study-note hub
- AR, MA and ARMA processes explained — study note
- Postgraduate version of this lecture
- All teaching materials — notes, exercises and solutions
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