1. Intro To Time Series Analysis Flashcards
What is time series data?
It consists of observations on a given economic unit
Signal
The systematically prefictable component of the time series
Noise
The component whcuh makes time series difficult to predict
What does the signal consust of?
Trend, seasonal and cycle
What is the trend?
Thr persistent tendency of the times series to increase or decrease over time
What is the seasonality?
A type of cyclicality where the times series has a tendency to increase or decrease in a predictable or regular way
What is a lagged variable
If Xt: t=1,2,…,T then Xt-1: t=2,3,…,T is the value of the variable in period t-1 or lagged one period
What is a lead or forward variable?
The opposite of a lag variable
Differenced variable
The difference between the current value of the variable and its value in period t-1
What is significant of a a log first difference variable?
It gives the proportional change % in X between period t-1 and t, it is also known as the rate of return
Stationary variable
A variable that isnt explosive, nor trending, nor wandering aimlessly wuthout returning to its mean
What is true of the stationarity of most macro variables?
They are non staionary but theut first differences or returns tend to be stationary
When can standard regression analysis be carried out on variables?
When variables are stationary or when certain conditions are given
What is the autocorrelation function?
Autocorrelation is the correlation involving a variable and its past (lag)
What is the autocorrelation of order 0
The correlation between a variable and itself so it is 1
