Two linked exercise sets: the class exercise presents real IBM monthly returns (1991–2013) with their correlogram and asks you to characterise the series and test hypotheses about its autocorrelations; the video exercise derives one- and two-step-ahead predictors for an AR(2) process. Together they train exactly the plot-reading and derivation skills time-series exams demand.
What these materials cover
- Describing the statistical properties of real stock returns from plots
- Reading a correlogram: ACF values, confidence bands, what is significant
- Testing hypotheses about autocorrelations at the 5% level
- AR(2) processes: deriving predictors for T+1 and T+2
- Exam-style question phrasing with real data
Download
Free to download and use for personal study. Written for my own university teaching; shared here as evidence of teaching style and depth.
Class exercise: IBM stock returns & correlogram (PDF) Video exercise: AR(2) prediction (PDF)
Who this is for
Final-year undergraduates in time series econometrics, and anyone who wants practice turning correlogram output into statements an examiner will credit.
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
- How to read a correlogram — study note
- Modelling the distribution of stock returns — study note
- 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.