{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

32_TimeSeriesA_handout

32_TimeSeriesA_handout - Time Series I W-261 Y Kryukov CMU...

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Time Series - I Wooldridge 10 73-261 Y. Kryukov CMU, Tepper School of Business November 15, 2010 Y. Kryukov (CMU) 73-261: Time Series Nov-15 1 / 13 Overview Topic 3.2 Time series TS data as explanatory variables: Distributed lags Time Trend Seasonality Residuals with TS data: underlying theory Stationarity AR and MA One simple &x: di/erencing Y. Kryukov (CMU) 73-261: Time Series Nov-15 2 ¡ 13 Time series Cross section : observation over di/erent subjects: people, markets, countries. Time series : Observations come from same object, observed at di/erent points in time ( t = 1 , ..., T ) t can be year, quarter, month, day, minute, etc. Changes in x do not a/ect y until next year = ) y t is a/ected by lagged x : x t & 1 Past a/ects future = autocorrelation: cov ( y t , y t & 1 ) 6 = Need special techniques to deal with it. Y. Kryukov (CMU) 73-261: Time Series Nov-15 3 ¡ 13 Distributed lag model Static model &ignores timing of e/ects. E.g. Phillips curve: Inf t = β + β 1 Unempl t + u t Distributed lag model &delayed e/ects E.g. child tax exemption ( e ) vs. birth rate ( br ): br t = α + δ e t + δ 1 e t & 1 + δ 2 e t & 2 + u t e t = exemption during current year . . ....
View Full Document

{[ snackBarMessage ]}

Page1 / 13

32_TimeSeriesA_handout - Time Series I W-261 Y Kryukov CMU...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon bookmark
Ask a homework question - tutors are online