Template-Type: ReDIF-Paper 1.0
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Author-Name: Oxley, L.
Author-Name-Last: Oxley
Author-Name-First: Les
Author-Person: pox4
Title: Ten Things We Should Know About Time Series
Abstract: Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing fractionally integrated and long memory processes, estimating VARFIMA models, using and interpreting cointegrating models carefully, choosing sensibly among univariate conditional, stochastic and realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of multivariate volatility models, and thinking carefully about forecasting models and expertise
Creation-Date: 2010-07-29
File-URL: https://repub.eur.nl/pub/20167/EI2010-49.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2010-49
Classification-JEL: C22, C32
Keywords: VARFIMA, asymmetry, cointegration, forecasting models and expertise, fractional integration, leverage, long memory, thresholds, unit roots, volatility
Handle: RePEc:ems:eureir:20167