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TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES
Author(s) -
McAleer Michael,
Oxley Les
Publication year - 2011
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/j.1467-6419.2010.00644.x
Subject(s) - univariate , econometrics , leverage (statistics) , volatility (finance) , multivariate statistics , stochastic volatility , series (stratigraphy) , time series , economics , long memory , cointegration , computer science , statistics , mathematics , paleontology , biology
Time series data affect many aspects of our lives. This paper highlights 10 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.