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STAT 3610/5610 – Time Series Analysis
Topics to be covered• Chapters 1 – 8• Chapter 9 – Skip• Chapters 10 – 12
Book Resources• Appendix A: relevant math review• Appendix B: relevant probability review• Appendix C: relevant mathematical
statistics review• Appendices D and E: matrix algebra and
linear regression in matrix form – These topics not covered in this course.
• Appendix F: answers to questions posed within the text of each chapter
Chapter 1Observational or Retrospective Data
Vs.Experimental Data
Econometrics data is often observational
Chapter 1 – Types of Data Sets• Cross-Sectional Data – Data on multiple
variables taken at a given time period on multiple experimental units (subjects). Usually the subjects are chosen randomly
(random sample) Observations ARE typically independent of
each other
Chapter 1 – Types of Data Sets• Time Series Data – observations on a
variable(s) over time Data frequency typically uniform Observations are typically NOT
independent of each other
Time Series Data
Chapter 1 – Types of Data Sets• Pooled Cross-Sectional Data – Cross-
Sectional Data that is taken at multiple points in time. Usually the subjects are chosen randomly
(random sample) Observations ARE typically independent of
each other
Chapter 1 – Types of Data Sets• Panel or Longitudinal Data – Time
Series data set for each cross-sectional member in the data set.
Chapter 1 – Ceteris Paribus• See website for details
In Class Activities• Problem 1.1• Problem 1.2• Problem C 1.2