Time Series Analysis Method and Substance Introductory时间序列分析方法和物质介绍.pptVIP

Time Series Analysis: Method and Substance Introductory Workshop on Time Series Analysis Sara McLaughlin Mitchell Department of Political Science University of Iowa Overview What is time series? Properties of time series data Approaches to time series analysis ARIMA/Box-Jenkins, OLS, LSE, Sims, etc. Stationarity and unit roots Advanced topics Cointegration (ECM), time varying parameter models, VAR, ARCH What is time series data? A time series is a collection of data yt (t=1,2,…,T), with the interval between yt and yt+1 being fixed and constant. We can think of time series as being generated by a stochastic process, or the data generating process (DGP). A time series (sample) is a particular realization of the DGP (population). Time series analysis is the estimation of difference equations containing stochastic (error) terms (Enders 2010). Types of time series data Single time series U.S. presidential approval, monthly (1978:1-2004:7) Number of militarized disputes in the world annually (1816-2001) Changes in the monthly Dow Jones stock market value (1978:1-2001:1) Pooled time series Dyad-year analyses of interstate conflict State-year analyses of welfare policies Country-year analyses of economic growth Properties of Time Series Data Property #1: Time series data have autoregressive (AR), moving average (MA), and seasonal dynamic processes. Because time series data are ordered in time, past values influence future values. This often results in a violation of the assumption of no serial correlation in the residuals of a standard OLS model. Cov[?i, ?j] = 0 if i ? j U.S. Monthly Presidential Approval Data, 1978:1-2004:7 OLS Strategies When you first learned about serial correlation when taking an OLS class, you probably learned about techniques like generalized least squares (GLS) to correct the problem. This is not ideal because we can improve our explanatory and forecasting abilities by modeling the dynamics in Yt, Xt, and εt. The na?ve OLS approach can also p