Questions tagged [differencing]

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How to work with multi-step forecasting on differenced time series

I have a financial time series that I wish to make 5 step ahead (t+5) forecasts on. As the series is non-stationary, I have differenced the series. For every time step t, the response variable is ...
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modelling on differenced data

I have a time-series data that I want to model using machine learning models like Lasso Regression, Ridge, elastic net, etc. However, in order to make it stationary, I difference the output variable, ...
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Intuition of second order differencing dependent variable on non-differencing independent regressor regression?

I have two time series sequences. One is $y_t$, which is non-stationary, and the other is $x_t$, which is stationary. Suppose I would like to do a regression of $y_t$ on $x_t$ to forecast $y_t$. The ...
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Why would you introduce a constant in a moving average model, when you already have the option of differencing?

In the online forecasting book of Hyndman (https://otexts.com/fpp2/MA.html) firstly the use of differencing is explained. After that he shows the formula for a moving average model: $$y_t = c + \...