STAT 3610/5610 – Time Series Analysis

Topics to be covered• Chapters 1 – 8• Chapter 9 – Skip• Chapters 10 – 12

Book Resources• Appendix A: relevant math review• Appendix B: relevant probability review• Appendix C: relevant mathematical

statistics review• Appendices D and E: matrix algebra and

linear regression in matrix form – These topics not covered in this course.

• Appendix F: answers to questions posed within the text of each chapter

Chapter 1Observational or Retrospective Data

Vs.Experimental Data

Econometrics data is often observational

Chapter 1 – Types of Data Sets• Cross-Sectional Data – Data on multiple

variables taken at a given time period on multiple experimental units (subjects). Usually the subjects are chosen randomly

(random sample) Observations ARE typically independent of

each other

Chapter 1 – Types of Data Sets• Time Series Data – observations on a

variable(s) over time Data frequency typically uniform Observations are typically NOT

independent of each other

Time Series Data

Chapter 1 – Types of Data Sets• Pooled Cross-Sectional Data – Cross-

Sectional Data that is taken at multiple points in time. Usually the subjects are chosen randomly

(random sample) Observations ARE typically independent of

each other

Chapter 1 – Types of Data Sets• Panel or Longitudinal Data – Time

Series data set for each cross-sectional member in the data set.

Chapter 1 – Ceteris Paribus• See website for details

In Class Activities• Problem 1.1• Problem 1.2• Problem C 1.2