Time Series Analysis

[optionshedge]

Hi,

I'm studying for the CFA Level 2 exam, and found many of your webinars very useful. The webinars regarding linear and multi-variate regression were very relevant and concise. I particularly liked the way you showed how to use Excel to perform various type of analysis.

Could you also demonstrate how to use Excel to perform time series analysis? Or do you know any good resources that show how to use Excel to do time series analysis, such as auto-regressive models, linear / log-linear models, tests for covariance stationarity, unit root tests, seasonality, ARCH, etc..?

 

[David Harper CFA FRM]

Hi options,

Thanks for liking the video tutorials. I wish i had the time to explore excel with time series further in videos, but for the forseeable future we have a laser focus on the FRM.

Regarding resources: I actually don't. My excel resources tend to be quite basic in this regard (e.g., linear regression). My favorite book is this topic is Chris Brooks' Intro Econometrics for Finance
...but he showcases with eViews not Excel.

I am a fan of Introductory Econometrics by Barreto: they use Excel in a very instructive and unique way. But in regard to the statistics/basic econometrics. I don't think there few chapters on time series will give you much depth.

So, I know of Excel resources and time series resources, but as the latter seem to use other tools, not a resource on both.

Thanks, David