Download STAT 3610/5610 * Time Series Analysis

STAT 3610/5610 – Time Series
Analysis
Topics to be covered
• Chapters 1 – 8
• Chapter 9 – Skip
• Chapters 10 – 12
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Book Resources
Appendix A: relevant math review
Appendix B: relevant probability review
Appendix C: relevant mathematical
statistics review
Appendices D and E: matrix algebra and
linear regression in matrix form – These
topics not covered in this course.
Appendix F: answers to questions posed
within the text of each chapter
Chapter 1
Observational or Retrospective Data
Vs.
Experimental Data
Econometrics data is often observational
Chapter 1 – Types of Data Sets
• Cross-Sectional Data – Data on multiple
variables taken at a given time period
on multiple experimental units
(subjects).
 Usually the subjects are chosen randomly
(random sample)
 Observations ARE typically independent of
each other
Chapter 1 – Types of Data Sets
• Time Series Data – observations on a
variable(s) over time
 Data frequency typically uniform
 Observations are typically NOT
independent of each other
Time Series Data
Chapter 1 – Types of Data Sets
• Pooled Cross-Sectional Data – CrossSectional Data that is taken at multiple
points in time.
 Usually the subjects are chosen randomly
(random sample)
 Observations ARE typically independent of
each other
Chapter 1 – Types of Data Sets
• Panel or Longitudinal Data – Time
Series data set for each cross-sectional
member in the data set.
Chapter 1 – Ceteris Paribus
• See website for details
In Class Activities
• Problem 1.1
• Problem 1.2
• Problem C 1.2