This article I will explain about time series econometric as basic knowledge.
1-What is a time series?
A time series is any series of data that varies over time. For example
- Monthly Tourist Arrivals from China
- Quarterly GDP of Malaysia
- Hourly price of stocks and shares
- Weekly quantity of petrol sold in a station
Because of widespread availability of time series databases most empirical studies use time series data.
2-Caveats in Using Time Series Data in Applied Econometric Modeling
- Data Should be Stationary
- Presence of Auto-correlation
- Guard Against Spurious Regressions
- Establish Co-integration
- Reconcile SR with LR Behavior via ECM
- Implications to Forecasting
- Possibility of Volatility Clustering