Ten Things We Should Know About Time Series (2010)
Type of ContentDiscussion / Working Papers
PublisherCollege of Business and Economics
University of Canterbury. Department of Economics and Finance
Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing fractionally integrated and long memory processes, estimating VARFIMA models, using and interpreting cointegrating models carefully, choosing sensibly among univariate conditional, stochastic and realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of multivariate volatility models, and thinking carefully about forecasting models and expertise.
CitationMcAleer, M., Oxley, L. (2010) Ten Things We Should Know About Time Series. Department of Economics and Finance. 8pp..
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Keywordsunit roots; fractional integration; long memory; VARFIMA; cointegration; volatility; thresholds; asymmetry; leverage; forecasting models; expertise
ANZSRC Fields of Research38 - Economics::3802 - Econometrics::380205 - Time-series analysis
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