Ten Things We Should Know About Time Series
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.
|Date of creation:||01 Jun 2010|
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- Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Wiley Blackwell, vol. 19(4), pages 649-653, 09.
- Michael McAleer & Les Oxley, 2005. "The Ten Commandments for Academics," Journal of Economic Surveys, Wiley Blackwell, vol. 19(5), pages 823-826, December.
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- 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.
- 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.
- 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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