第1讲时间序列数据介绍.pptx

Lecture one Introduction of Time Series 1 1. What is time series Time series is a sequence of values a specific variable has taken on over some period of time. The nature of time series: The observations have a natural ordering in time. Assume some regularity of the observation frequency. The past can affect the future, but not vice versa. Time series is a sequence of random variables indexed by time, it is also called a stochastic process. 2 2. Why use time series analysis Many economic problems can be analyzed using time series data. For example, many macroeconometric analyses are based on time series data. Forecasting the future economic conditions is one important objective of many analyses. understanding the relations between a set of possibly related variables uncovering the ongoings within an economic system or a specific market. 3 2. Why use time series analysis (continued) JAN TINBERGEN (1939) constructed the first econometric model for the United States and thus started the scientific research programme of empirical econometrics. The prevailing assumption was that, according to the classical linear regression model, the residuals of the estimated equations are stochastically independent from each other. 4 2. Why use time series analysis (continued) DONALD COCHRANE and GUY H. ORCUTT (1949) They showed that if residuals of an estimated regression equation are positively autocorrelated, the variances of the regression parameters are underestimated and, therefore, the values of the F and t statistics are overestimated. This problem could be solved, at least for the frequent case of first order autocorrelation, by transforming the data adequately. 5 2. Why use time series analysis (continued) JAMES DURBIN and GEOFFREY S. WATSON (1950/51) developed a test procedure which made it possible to identify first order autocorrelation of residual. It is called “DW test”. The problem seemed to be solved (more or less), and, until the 1970’s, the issue was hardly eve