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Ten Things We Should Know About Time Series

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  • Michael McAleer

    (Erasmus University Rotterdam, Tinbergen Institute, The Netherlands, and Institute of Economic Research, Kyoto University)

  • Les Oxley

    (Department of Economics and Finance, University of Canterbury)

Abstract

Time 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 Info

Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 710.

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Length: 7pages
Date of creation: Aug 2010
Date of revision:
Handle: RePEc:kyo:wpaper:710

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Keywords: Unit roots; fractional integration; long memory; VARFIMA; cointegration; volatility; thresholds; asymmetry; leverage; forecasting models and expertise.;

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  1. Michael McAleer & Les Oxley, 2005. "The Ten Commandments for Academics," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 19(5), pages 823-826, December.
  2. McAleer, Michael & Oxley, Les, 2002. " The Ten Commandments for Presenting a Conference Paper," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 16(2), pages 215-18, April.
  3. Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 19(4), pages 649-653, 09.
  4. McAleer, Michael, 1997. " The Ten Commandments for Organizing a Conference," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 11(2), pages 231-33, June.
  5. McAleer, Michael & Oxley, Les, 2001. " The Ten Commandments for Attending a Conference," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 15(5), pages 671-78, December.
  6. Leamer, Edward E, 1988. "Things That Bother Me," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 64(187), pages 331-35, December.
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