Ten Things We Should Know About Time Series

Michael McAleer and Les Oxley

No EI 2010-49, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: Time series data affect many aspects of our lives. This paper highlights ten 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

Keywords: VARFIMA; asymmetry; cointegration; forecasting models and expertise; fractional integration; leverage; long memory; thresholds; unit roots; volatility (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Date: 2010-07-29
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES (2011)
Working Paper: Ten Things We Should Know About Time Series (2010)
Working Paper: Ten Things We Should Know About Time Series (2010)
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