ECON F342 AE Time Series 2017 - ECON F342 APPLIED...

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BITS Pilani Pilani Campus ECON F342 APPLIED ECONOMETRICS
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BITS Pilani Pilani Campus Lecture 2
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Time Series Models BASICS Ch.10 of Text Book NVM 3
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Introduction Time series data can be defined as a sequence of observations of some variable at regular time intervals. The intervals can correspond to both: A calendar time: Yearly, quarterly, monthly etc… Or an irregular economic process: such as stock market trading days in a year The observations are indexed with time i.e. dated, and their natural ordering should be respected. The time indexing emphasizes the first important difference between time series data and cross-sectional data. 4
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