ch14 - Chapter 14 Introduction to Time Series Regression...

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Chapter 14 Introduction to Time Series Regression and Forecasting (Part 1)
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U.S. CPI Inflation Rate
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U.S. Unemployment Rate
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Lags, First Differences, Logarithms, and Growth Rates I The first lag of a time series Y t is Y t 1 ; its j th lag is Y t j . I The first difference of a series, Δ Y t , is its change between periods t 1 and t , that is, Δ Y t = Y t Y t 1 . I The first difference of the logarithm of Y t is Δ ln ( Y t ) = ln ( Y t ) ln ( Y t 1 ) . I The percentage change of a time series Y t between periods t 1 and t is approximately 100 Δ ln ( Y t ) , where the approximation is most accurate when the percentage change is small.
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U.S. Inflation
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Autocorrelation and Autocovariance The j th autocovariance of a series Y t is the covariance between Y t and its j th lag, Y t j : j th autocovariance = cov Y t , Y t j ± . The j th autocorrelation (serial correlation) is the correlation between Y t and Y t j : j th autocorrelation = ρ j = cov Y t , Y t j ± q var ( Y t ) var ( Y t j ) .
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This note was uploaded on 11/20/2011 for the course ECONOMICS 220:322 taught by Professor Otusbo during the Fall '10 term at Rutgers.

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ch14 - Chapter 14 Introduction to Time Series Regression...

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