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Ten Things We Should Know About Time Series

Author

Listed:
  • 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.

Suggested Citation

  • Michael McAleer & Les Oxley, 2010. "Ten Things We Should Know About Time Series," KIER Working Papers 710, Kyoto University, Institute of Economic Research.
    • Handle: RePEc:kyo:wpaper:710
    as

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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP710.pdf
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    References listed on IDEAS

    as
    1. Michael McAleer & Les Oxley, 2005. "The Ten Commandments for Academics," Journal of Economic Surveys, Wiley Blackwell, vol. 19(5), pages 823-826, December.
    2. repec:bla:jecsur:v:16:y:2002:i:2:p:215-18 is not listed on IDEAS
    3. Michael McAleer, 1997. "The Ten Commandments for Organizing a Conference," Journal of Economic Surveys, Wiley Blackwell, vol. 11(2), pages 231-233, June.
    4. Michael McAleer & Les Oxley, 2001. "The Ten Commandments for Attending a Conference," Journal of Economic Surveys, Wiley Blackwell, vol. 15(5), pages 671-678, December.
    5. repec:bla:jecsur:v:11:y:1997:i:2:p:231-33 is not listed on IDEAS
    6. Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Wiley Blackwell, vol. 19(4), pages 649-653, September.
    7. repec:bla:ecorec:v:64:y:1988:i:187:p:331-35 is not listed on IDEAS
    8. repec:bla:jecsur:v:15:y:2001:i:5:p:671-78 is not listed on IDEAS
    9. Michael McAleer & Les Oxley, 2002. "The Ten Commandments for Presenting a Conference Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 16(2), pages 215-218, April.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Jean-David Fermanian & Hassan Malongo, 2013. "On the Stationarity of Dynamic Conditional Correlation Models," Working Papers 2013-26, Center for Research in Economics and Statistics.

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    More about this item

    Keywords

    Unit roots; fractional integration; long memory; VARFIMA; cointegration; volatility; thresholds; asymmetry; leverage; forecasting models and expertise.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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; State Space Models

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