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 1 Observational 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