lect26_2010

Lect26_2010 - 1 27 Introduction to Econometrics Econ 322 Fall 2010 Lecture 26 Introduction to Time Series Methods December 6 2010 Topics Covered

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Unformatted text preview: 1 / 27 Introduction to Econometrics Econ 322 Fall, 2010 Lecture 26: Introduction to Time Series Methods December 6, 2010 Topics Covered triangleright Topics Covered What is a time series? Why use time series? New Problems to deal with! Forecasting Some Definitions Example: Inflation Stationarity Autoregressive models The AR(P) Model Information Criteria BIC AIC Forecasting with the AR(p) Model Forecast Accuracy and Forecast Intervals Forecasts for the change in Inflation: 2007Q1 to 2007Q4 2 / 27 1. Time series 2. Forecasting 3. Autocorrelation 4. dynamic effects What is a time series? Topics Covered triangleright What is a time series? Why use time series? New Problems to deal with! Forecasting Some Definitions Example: Inflation Stationarity Autoregressive models The AR(P) Model Information Criteria BIC AIC Forecasting with the AR(p) Model Forecast Accuracy and Forecast Intervals Forecasts for the change in Inflation: 2007Q1 to 2007Q4 3 / 27 square Time series data are data collected on the same observational unit at multiple time periods – Aggregate consumption and GDP for a country (for example, 20 years of quarterly observations = 80 observations) – Yen/$, pound/$ and Euro/$ exchange rates (daily data for 1 year = 365 observations) – Cigarette consumption per capita in a state, by year Why use time series? Topics Covered What is a time series? triangleright Why use time series? New Problems to deal with! Forecasting Some Definitions Example: Inflation Stationarity Autoregressive models The AR(P) Model Information Criteria BIC AIC Forecasting with the AR(p) Model Forecast Accuracy and Forecast Intervals Forecasts for the change in Inflation: 2007Q1 to 2007Q4 4 / 27 square To develop forecasting models – What will the rate of inflation be next year? square To estimate dynamic causal effects – If the Fed increases the Federal Funds rate now, what will be the effect on the rates of inflation and unemployment in 3 months? in 12 months? – What is the effect over time on cigarette consumption of a hike in the cigarette tax? square Or, because that is your only option – Rates of inflation and unemployment in the US can be observed only over time! New Problems to deal with! Topics Covered What is a time series? Why use time series? triangleright New Problems to deal with! Forecasting Some Definitions Example: Inflation Stationarity Autoregressive models The AR(P) Model Information Criteria BIC AIC Forecasting with the AR(p) Model Forecast Accuracy and Forecast Intervals Forecasts for the change in Inflation: 2007Q1 to 2007Q4 5 / 27 square Time lags square Correlation over time (serial correlation, a.k.a. autocorrelation) square Forecasting models built on regression methods: – autoregressive (AR) models – autoregressive distributed lag (ADL) models – need not (typically do not) have a causal interpretation square Conditions under which dynamic effects can be estimated, and how to estimate them square Calculation of standard errors when the errors are serially correlated Forecasting...
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This document was uploaded on 10/26/2011 for the course ECON 327 at Rutgers.

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Lect26_2010 - 1 27 Introduction to Econometrics Econ 322 Fall 2010 Lecture 26 Introduction to Time Series Methods December 6 2010 Topics Covered

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