Quant analytics: Decent document on Introduction to Time Series PDF

(Last Updated On: October 27, 2011)


Quant analytics: Decent document on Introduction to Time Series  PDF

Abstract: This note introduces the concept of time series data. First we give somebasic definitions and discuss the differences between cross-sectional data (analyzed inEconometrics 1) and time series data. We then say a few words on time dependence,which is a characteristic feature of time series; and illustrate how the basic resultsfor the linear regression model  are modified in a dynamic context, where the laggeddependent variable is introduced as a regressor. Finally, we discuss the problem ofserial dependence in the error term.


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