Time-Series Analysis

Badi Baltagi

Chapter Chapter 14 in Econometrics, 2011, pp 373-396 from Springer

Abstract: Abstract There has been an enormous amount of research in time-series econometrics, and many economics departments have required a time-series econometrics course in their graduate sequence. Obviously, one chapter on this topic will not do it justice. Therefore, this chapter will focus on some of the basic concepts needed for such a course. Section 14.2 defines what is meant by a stationary time-series, while sections 14.3 and 14.4 briefly review the Box-Jenkins and Vector Autoregression (VAR) methods for time-series analysis. Section 14.5 considers a random walk model and various tests for the existence of a unit root. Section 14.6 studies spurious regressions and trend stationary versus difference stationary models. Section 14.7 gives a simple explanation of the concept of cointegration and illustrates it with an economic example. Finally, section 14.8 looks at Autoregressive Conditionally Heteroskedastic (ARCH) time-series.

Keywords: Random Walk; Unit Root; Unit Root Test; Money Supply; Repeat Part (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Chapter: Time-Series Analysis (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-642-20059-5_14

Ordering information: This item can be ordered from
http://www.springer.com/9783642200595

DOI: 10.1007/978-3-642-20059-5_14

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().