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    Ten things we should know about time series

    Access Status
    Fulltext not available
    Authors
    McAleer, M.
    Oxley, Leslie
    Date
    2011
    Type
    Journal Article
    
    Metadata
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    Citation
    McAleer, M. and Oxley, L. 2011. Ten things we should know about time series. Journal of Economic Surveys. 25 (1): pp. 185-188.
    Source Title
    Journal of Economic Surveys
    DOI
    10.1111/j.1467-6419.2010.00644.x
    ISSN
    0950-0804
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/27505
    Collection
    • Curtin Research Publications
    Abstract

    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.

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