STAT 3610/5610 – Time Series Analysis

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# STAT 3610/5610 – Time Series Analysis - PowerPoint PPT Presentation

STAT 3610/5610 – Time Series Analysis. Topics to be covered Chapters 1 – 8 Chapter 9 – Skip Chapters 10 – 12. Book Resources Appendix A: relevant math review Appendix B: relevant probability review Appendix C: relevant mathematical statistics review

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### STAT 3610/5610 – Time Series Analysis

Topics to be covered

Chapters 1 – 8

Chapter 9 – Skip

Chapters 10 – 12

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

### Chapter 1 – Types of Data Sets

Pooled Cross-Sectional Data – Cross-Sectional 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

Problem 1.1

Problem 1.2

Problem C 1.2