Ten Things We Should Know About Time Series
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute; Tinbergen Institute; University of Tokyo - Centre for International Research on the Japanese Economy (CIRJE), Faculty of Economics
University of Canterbury - Economics and Finance; Curtin University of Technology - Department of Economics; Motu Economic and Public Policy Research Trust
Journal of Economic Surveys, Vol. 25, Issue 1, pp. 185-188, 2011
Time series data affect many aspects of our lives. This paper highlights 10 things we should all know about time series, namely, a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing fractionally integrated and long memory processes, estimating VARFIMA models, using and interpreting cointegrating models carefully, choosing sensibly among univariate conditional, stochastic and realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of multivariate volatility models, and thinking carefully about forecasting models and expertise.
Number of Pages in PDF File: 4
Keywords: Asymmetry, Cointegration, Forecasting models and expertise, Fractional integration, Leverage, Long memory, Thresholds, Unit roots, VARFIMA, VolatilityAccepted Paper Series
Date posted: January 24, 2011
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