Ten Things We Should Know About Time Series

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dc.contributor.authorMcAleer, M.
dc.contributor.authorOxley, L.
dc.date.accessioned2011-08-23T21:32:13Z
dc.date.available2011-08-23T21:32:13Z
dc.date.issued2010en
dc.description.abstractTime 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.en
dc.identifier.citationMcAleer, M., Oxley, L. (2010) Ten Things We Should Know About Time Series. Department of Economics and Finance. 8pp..en
dc.identifier.urihttp://hdl.handle.net/10092/5358
dc.language.isoen
dc.publisherCollege of Business and Economicsen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectunit rootsen
dc.subjectfractional integrationen
dc.subjectlong memoryen
dc.subjectVARFIMAen
dc.subjectcointegrationen
dc.subjectvolatilityen
dc.subjectthresholdsen
dc.subjectasymmetryen
dc.subjectleverageen
dc.subjectforecasting modelsen
dc.subjectexpertiseen
dc.subject.anzsrcFields of Research::38 - Economics::3802 - Econometrics::380205 - Time-series analysisen
dc.titleTen Things We Should Know About Time Seriesen
dc.typeDiscussion / Working Papers
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