321_09_slides14

# 321_09_slides14 - Introduction to Time Series Chapters 10 +...

This preview shows pages 1–9. Sign up to view the full content.

Introduction to Time Series 1 Chapters 10 + 11 + 12 Part I

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

View Full Document
Outline Definitions and Examples Properties of OLS estimators Trends and seasonality Dependence series Weakly Dependent Time Series Highly persistent Time Series Autocorrelated/Serially correlated errors Testing and correcting Heteroscedasticity and serial correlation 2 Chap . 10 Chap. 11 Chap. 12
Time Series Data Y -> sample (Y 1 , … Y n ) -> Statistics to estimate either the mean unconditional or the conditional mean E(Y i |X i ) = α 0 + α 1 X i where (X 1 , … X n ) Where observations are unique to individuals, firms, cities, … at a given point in time. Y-> sample (Y 1 , … Y T ) -> Statistics to estimate either the mean unconditional or the conditional mean E(Y t |X) = α 0 + α 1 X t where (X 1 , … X T ) Where observations are unique to one specific period of time (year, quarter, month, day, hour,…) 3

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

View Full Document
Example of Time Series 4
Example of Time Series 5

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

View Full Document
6 Population Regression for relationship between with Time Series Data y t = 0 + 1 x t1 + . . .+ k x tk + u t
Time Series vs. Cross Sectional Time series data has a temporal ordering, unlike cross-section data no longer have a random sample of individuals Will need to alter some of our assumptions Instead, we have one realization of a stochastic (i.e. random) process for each variable 7

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

View Full Document
Not like Al Gore! You Tube
This is the end of the preview. Sign up to access the rest of the document.

## This note was uploaded on 07/11/2011 for the course ECON 321 taught by Professor Louis during the Fall '09 term at Waterloo.

### Page1 / 22

321_09_slides14 - Introduction to Time Series Chapters 10 +...

This preview shows document pages 1 - 9. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online