Ten things we should know about time series
Time series data affect many aspects of our lives. This paper highlights 10 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 fracti...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/27505 |
| _version_ | 1848752282188906496 |
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| author | McAleer, M. Oxley, Leslie |
| author_facet | McAleer, M. Oxley, Leslie |
| author_sort | McAleer, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Time series data affect many aspects of our lives. This paper highlights 10 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. © 2010 Blackwell Publishing Ltd. |
| first_indexed | 2025-11-14T08:06:08Z |
| format | Journal Article |
| id | curtin-20.500.11937-27505 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:06:08Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-275052018-03-29T09:08:00Z Ten things we should know about time series McAleer, M. Oxley, Leslie Time series data affect many aspects of our lives. This paper highlights 10 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. © 2010 Blackwell Publishing Ltd. 2011 Journal Article http://hdl.handle.net/20.500.11937/27505 10.1111/j.1467-6419.2010.00644.x restricted |
| spellingShingle | McAleer, M. Oxley, Leslie Ten things we should know about time series |
| title | Ten things we should know about time series |
| title_full | Ten things we should know about time series |
| title_fullStr | Ten things we should know about time series |
| title_full_unstemmed | Ten things we should know about time series |
| title_short | Ten things we should know about time series |
| title_sort | ten things we should know about time series |
| url | http://hdl.handle.net/20.500.11937/27505 |