Previously, I did a basic course on econometrics which was mostly theoretical in nature and covered all the basic techniques up to cointegration.
I have this project in which I have a financial time series, and I want to be able to do some time series forecasting. In the course that I took, I didn't cover any time series forecasting, but I know a bit about statistical tests: DF tests, t-tests, White test etc.
The thing is: when you are trying to do financial time series forecasting, how do you start?
How does the whole process work? My background is more theoretical than applied, so I'm looking for some tips here. I've never used R before, but I'm prepared to put in the effort to learn it.
I have all my data in an excel file, and can export to csv if required. How then do I approach the problem of...
- Choosing an appropriate model (I have heard of ARIMA models but never studied them yet. I have a bit of experience with ARMA models.) So how would I know what kind of model is suitable for the data I have? Is there any general model that one can start with and modify? Any other models I should consider as well? Any pointers on this?
- If there was only 1 reference book you could recommend, what would it be?
- Currently, the only software that I can use would be R, which packages do you recommend? (in order of usefulness)