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 Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 710.
Date of creation: Aug 2010
Date of revision:
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Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501
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More information through EDIRC
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 Report EI 2010-49, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Les Oxley, 2010. "Ten Things We Should Know About Time Series," Working Papers in Economics 10/42, University of Canterbury, Department of Economics and Finance.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-08-21 (All new papers)
- NEP-ETS-2010-08-21 (Econometric Time Series)
- NEP-FOR-2010-08-21 (Forecasting)
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.:
- Leamer, Edward E, 1988. "Things That Bother Me," The Economic Record, The Economic Society of Australia, vol. 64(187), pages 331-35, December.
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