Ten Things We Should Know About Time Series
AbstractTime series data affect many aspects of our lives. This paper highlights ten 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.
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Bibliographic InfoPaper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 10/42.
Length: 8 pages
Date of creation: 01 Jun 2010
Date of revision:
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Unit roots; fractional integration; long memory; VARFIMA; cointegration; volatility; thresholds; asymmetry; leverage; forecasting models and expertise;
Other versions of this item:
- McAleer, M.J. & Oxley, L., 2010. "Ten Things We Should Know About Time Series," Econometric Institute Research Papers EI 2010-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Les Oxley, 2010. "Ten Things We Should Know About Time Series," KIER Working Papers 710, Kyoto University, Institute of Economic Research.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
- NEP-ECM-2010-07-03 (Econometrics)
- NEP-ETS-2010-07-03 (Econometric Time Series)
- NEP-FOR-2010-07-03 (Forecasting)
- NEP-ORE-2010-07-03 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael McAleer & Les Oxley, 2005. "The Ten Commandments for Academics," Journal of Economic Surveys, Wiley Blackwell, vol. 19(5), pages 823-826, December.
- Leamer, Edward E, 1988. "Things That Bother Me," The Economic Record, The Economic Society of Australia, vol. 64(187), pages 331-35, December.
- McAleer, Michael & Oxley, Les, 2002. " The Ten Commandments for Presenting a Conference Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 16(2), pages 215-18, April.
- McAleer, Michael & Oxley, Les, 2001. " The Ten Commandments for Attending a Conference," Journal of Economic Surveys, Wiley Blackwell, vol. 15(5), pages 671-78, December.
- Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Wiley Blackwell, vol. 19(4), pages 649-653, 09.
- McAleer, Michael, 1997. " The Ten Commandments for Organizing a Conference," Journal of Economic Surveys, Wiley Blackwell, vol. 11(2), pages 231-33, June.
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