Econometrics-I-26 计量经济分析（第六版英文）ppt教学教案.pptVIP

* * * * * * * * * * * * * * * Applied Econometrics William Greene Department of Economics Stern School of Business Applied Econometrics 26. Time Series Data Modeling an Economic Time Series Observed y0, y1, …, yt,… What is the “sample” Random sampling? The “observation window” Estimators Functions of sums of observations Law of large numbers? Nonindependent observations What does “increasing sample size” mean? Asymptotic properties? (There are no finite sample properties.) Interpreting a Time Series Time domain: A “process” y(t) = ax(t) + by(t-1) + … Regression like approach/inter