Analysis of Economic Time Series. A Synthesis

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The link between the different methods is explored and it is argued that in all cases the necessary computations can be carried out most efficiently by putting the model in state space form and applying the Kalman filter. Unable to display preview.

Analysis of economic time series: a synthesis [1979]

Download preview PDF. Skip to main content. Advertisement Hide. Authors Authors and affiliations A. Harvey C. Conference paper. This process is experimental and the keywords may be updated as the learning algorithm improves. This is a preview of subscription content, log in to check access. Anderson, B. Dempster, A. Laird and D. Drettakis, E.

1. Introduction

Engle, R. Google Scholar. Discussion Paper, Harvard University. Hartley, H. Harvey, A. His proposed model is surprisingly simple and also has been experimentally verified to be quite successful and efficient in forecasting seasonal time series. The main aim of time series analysis is to collect and study the past observations of a time series to develop an appropriate model which describes the inherent structure of the series.

This model is then used to generate future values for the series, i. Time series analysis can be termed as the act of predicting the future by understanding the past. Time series analysis is used in numerous practical fields such as business,economics, finance, science, engineering etc. Source: google images As we know that a time series data varies with time, there are many factors which results in this variation. The effects of these factors are studied by following four major components Trends: A trend exists when there is a long-term increase or decrease in the data.

It does not have to be linear. Seasonal: A seasonal pattern exists when a series is influenced by seasonal factors ex: quarterly,monthly,half-yearly. Seasonality is always of a fixed and known period Cyclic Variation: A cyclic pattern exists when data exhibit rises and falls that are not of fixed period.

The duration of these cycles is more than a year. Ex: the stock market tends to cycle between periods of high and low values, but there is no set amount of time between those fluctuations Irregular: The variation of observations in a time series which is unusual or unexpected. It is also termed as a Random Variation and is usually unpredictable. Ex: Floods, fires, earthquakes, revolutions, epidemics, strikes What is a stationary series and how important is it? Stationary vs Non stationary series.

Source: google images Given a series of data points, if the mean and variance of all the data points remains constant with time then we will call that series as Stationary Series. Unfortunately, most price series are not stationary. They are either drifting upward or downward.


Ex:bitcoin pricing,stock prices. Non-stationary data are unpredictable and cannot be modeled or forecasted. The results obtained by using non-stationary time series may be spurious in that they may indicate a relationship between two variables where one does not exist. In order to receive consistent, reliable results, the non-stationary data needs to be transformed into stationary data. The two most common ways to make a non-stationary time series curve stationary are: Differencing: In order to make your series stationary, you take a difference between the data points.

If this transformation is done only once to a series, you say that the data has been first differenced. This process essentially eliminates the trend if your series is growing at a fairly constant rate. If it is growing at an increasing rate, you can apply the same procedure and difference the data again. The data would then be second differenced. Transformation: If you can not make a time series stationary, you can try out transforming the variables.

Log transform is probably the most commonly used transformation, if you are seeing a diverging time series. However, it is normally suggested that you use transformation only in case differencing is not working.

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What are the different models used in Time Series Analysis? Some commonly used models are: Auto-Regressive AR model: A regression model, such as linear regression, models an output value based on a linear combination of input values.

This technique can be used on time series where input variables are taken as observations at previous time steps, called lag variables. This model handles the conversion of non stationary data to stationary.

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Autocorrelations are numerical values that indicate how a data series is related to itself over time. It measures how strongly data values at a specified number of periods apart are correlated to each other over time. The number of periods apart is usually called the lag. For example, an autocorrelation at lag 1 measures how values 1 period apart are correlated to one another throughout the series.

An autocorrelation at lag 2 measures how the data two periods apart are correlated throughout the series.

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These measures are most often evaluated through graphical plots called correlogram. A correlogram plots the auto-correlation values for a given series at different lags. ACF plots display correlation between a series and its lags. In addition to suggesting the order of differencing, ACF plots can help in determining the order of the MA q model.

Partial autocorrelation plots PACF , as the name suggests, display correlation between a variable and its lags that is not explained by previous lags. Along with its development, the authors Box and Jenkins also suggest a process for identifying, estimating, and checking models for a specific time series dataset. It is an iterative approach that consists of the following 3 steps: Identification: involves determining the order of the model required p, d, and q in order to capture the salient dynamic features of the data. This mainly leads to use graphical procedures plotting the series, the ACF and PACF, etc Estimation: The estimation procedure involves using the model with p, d and q orders to fit the actual time series and minimize the loss or error term.

Diagnostic checking: Evaluate the fitted model in the context of the available data and check for areas where the model may be improved.

Analysis of Economic Time Series. A Synthesis Analysis of Economic Time Series. A Synthesis
Analysis of Economic Time Series. A Synthesis Analysis of Economic Time Series. A Synthesis
Analysis of Economic Time Series. A Synthesis Analysis of Economic Time Series. A Synthesis
Analysis of Economic Time Series. A Synthesis Analysis of Economic Time Series. A Synthesis
Analysis of Economic Time Series. A Synthesis Analysis of Economic Time Series. A Synthesis
Analysis of Economic Time Series. A Synthesis Analysis of Economic Time Series. A Synthesis
Analysis of Economic Time Series. A Synthesis Analysis of Economic Time Series. A Synthesis

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