8 Non Stationary Time-series

This section explicitly identifies how to check for non stationarity and how to deal with it

Hence:

1. Unit roots 2. Spurious Regression 3. Cointegration

Literature

• HW: Judgmental Forecasting and Forecast Adjustments (Combining forecasts)
• HW: Managing the Forecast Process
• Discussion on Diebold-Mariano test: http://www.phdeconomics.sssup.it/documents/Lesson19.pdf

Suggestions from the slides

• HW: pp. 321-323 (cointegration)
• Unit roots: http://faculty.washington.edu/ezivot/econ584/notes/unitroot.pdf
• Cointegration: notes I & notes II: Where notes I = http://www2.hawaii.edu/%7Ebonham/664/materials/New_Lectures3.pdf, notes II is not to be found