Time Series Econometrics

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
3-What is a Stationary Time Series?
  • A Stationary Series is a Variable with constant Mean across time
  • A Stationary Series is a Variable with constant Variance across time

4-Examples of  Stationary Time Series

Stationary Time Series

5-Examples of  Non-Stationary Time Series

Non-Stationary Time Series



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