Chap II Univariate Time Series Analysis

Chap II Univariate Time Series Analysis - Univariate Time...

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Univariate Time Series Analysis Chap 9 in Koop’s IESEG 3 – Econometrics – H. Daher
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Time Series Properties
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Regression Model with Lagged Explanatory Variables
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Stock Prices on the NYSE (NYSE.XLS)
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Aside on logs
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Differencing
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Differencing
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The Autocorrelation Function
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The Autocorrelation Function
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The Autocorrelation Function
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The Autocorrelation Function
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Autocorrelation Intuition
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The Autoregressive Model
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Graphic Examples
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Graphic Examples
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Graphic Examples
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Nonstationarity Vs. Stationarity Time Series
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Ways of Thinking about Whether Y is Stationary or has a Unit Root
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More on the AR(1) Model
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More on the AR(1) Model
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More on the AR(1) Model
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Random Walk Model
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Example
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s Dickey-Fuller test (DF) b H0: ρ =0 b H1: | ρ | <0 where Δ Y t = α + ρ Y t-1 + e t s H0 is true B Y has a unit root s H1 is true B Y is stationary s The statistic (tau) is estimated by dividing the Y t-1 OLS parameter by its standard deviation. τ
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Chap II Univariate Time Series Analysis - Univariate Time...

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