fbpx

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.

http://www.econ.ku.dk/metrics/Econometrics2_04_II/LectureNotes/timeseries.pdf

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Subscribe For Latest Updates

Sign up to best of business news, informed analysis and opinions on what matters to you.
Invalid email address
We promise not to spam you. You can unsubscribe at any time.

NOTE!

Check NEW site on stock forex and ETF analysis and automation

Scroll to Top