The payoff of the ARMA machinery: prediction. These slides construct optimal forecasts from estimated ARMA models, extend them to multiple steps ahead, and then treat seasonality — the regular within-year patterns in economic data and how to model or remove them.
What these materials cover
- Optimal prediction from ARMA models
- Multi-step-ahead forecasts and their uncertainty
- Seasonality in economic time series
- Seasonal adjustment and seasonal modelling choices
- How prediction questions are phrased in exams
Download
Free to download and use for personal study. Written for my own university teaching; shared here as evidence of teaching style and depth.
Lecture 4: prediction & seasonality (PDF)
Who this is for
Undergraduates covering forecasting, and anyone whose coursework requires multi-step predictions with justification.
Working on this topic?
Send the module topic list, the problem set and where you're stuck. A free consultation diagnoses whether the difficulty is definitions, derivations or software output — and proposes a plan.
Related free resources
- Time Series Econometrics — full study-note hub
- Time series econometrics part 2 (technical) — study note
- VAR basics (impulse responses and forecasting)
- All teaching materials — notes, exercises and solutions
One-to-one help
For help with this material — or the module it belongs to — see econometrics tuition or university economics tuition. The first consultation is free, with no obligation.
Free worked video lectures: @economaths on YouTube.