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Introduction To Time Series Econometrics

This document provides an introduction to time series econometrics. It discusses that econometrics uses mathematical and statistical tools to empirically measure and analyze economic variables over time. Time series econometrics specifically analyzes data collected over periods of time, such as industrial production or GDP. Some pioneers of time series analysis include Tinbergen, Cochrane, and Orcutt who first recognized that observations over time are correlated. Later, Box and Jenkins developed influential time series models and methods. The main aims of time series econometrics are forecasting, policy simulation, parameter estimation, and evaluating economic theories by statistically analyzing time series data. Linear models include AR, MA, ARMA, seasonal and other regression models. Non

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Qaiser Ayub
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63 views16 pages

Introduction To Time Series Econometrics

This document provides an introduction to time series econometrics. It discusses that econometrics uses mathematical and statistical tools to empirically measure and analyze economic variables over time. Time series econometrics specifically analyzes data collected over periods of time, such as industrial production or GDP. Some pioneers of time series analysis include Tinbergen, Cochrane, and Orcutt who first recognized that observations over time are correlated. Later, Box and Jenkins developed influential time series models and methods. The main aims of time series econometrics are forecasting, policy simulation, parameter estimation, and evaluating economic theories by statistically analyzing time series data. Linear models include AR, MA, ARMA, seasonal and other regression models. Non

Uploaded by

Qaiser Ayub
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPT, PDF, TXT or read online on Scribd
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• Introduction to Time Series Econometrics

Gohar Ayub
MPhil Scholar
Introduction to Econometric
• econometric is the empirical measurement
of economic variable.

• Econometrics is the analysis of the


economics problems by using the
mathematical and statistical tools.
• The mathematical tools helps in the building of
the mathematical model for the economics
theories while the statistical tool helps in the
testing the validity of these relationships
statistically and also helps in testing the validity
of the economic theory.

• Econometrics is one of the major areas of the


mathematical economics. Econometrics is also
of the importance because we can not eliminate
the quantitative, mathematics and statistics from
the economics.
• Arnold Zellner, the professor of University
of Chicago Booth School of Business, is
the pioneer of the econometrics. His major
contribution as the pioneer, in the field of
econometrics is in the systems of
equations, forecasting, Bayesian statistics
and econometrics, or time series analysis.
This contribution gave him the world wide
recognition.
Importance of Econometrics
• According to Geweke in 2006 it provides the
empirical ways to economics theories for their
statistical testing, the forecasting of the
economic variables and then the decision based
on these variables and theories.

• The econometrics can be used in the economic


research for forecasting and estimating different
economic variables
• These variables can be like GDP,
Personal Consumption Expenditure, Cost
and profit function, demand and supply of
the product, inflation, unemployment,
interest rate etc.
Time Series Econometrics
• Time Series is one of the important type data
that is used in the empirical analysis.

• As the name suggest that the data collected


over the period of time or it is the set of
observation arranged w.r.t time.

• Time series have always used in the


econometrics.
• The example of the time series data can be
industrial production, government deficit budget,
money supply, the value of stock, GDP, etc.

• The methods and procedures of the


econometrics that are used for empirical
analysis of the time series data is known as time
series econometrics
Origin of Time Series Model

• the first time series econometrics model was


constructed by TINBERGEN (1939) for the
United States and thus begins the scientific
research programmed of empirical
econometrics.
• According to R. TSAY, the DONALD
COCHRANE and GUY H. ORCUTT (1949) were
the researchers who for the first time notice the
problem i.e. the chronological observations are
related to each other.

• They identified that if the error terms in the


estimated regression equation are positively
autocorrelated,
• In 1950-51 JAMES DURBIN and GEOFFREY S.
WATSON developed a statistical procedure
which helped in identifying first order
autocorrelation.

• In the 1970 GEORGE E.P. BOX and GWILYM


M. JENKINS gave a receivable attention to this
issue and introduce the time series econometric
model for single variable using systematic
information including time series observation.
• GEORGE E.P BOX and GWILYM M. JENKINS
(1970), who developed methods to implement
these models empirically.
Aims of Time Series Econometrics
The main aims of the time series econometrics is
• Forecasting. i.e. the forecasting the macroeconomic and
finance.
• Policy Simulation model
• Estimation of the parameters
• Scientifically evaluation of the economic theories.
• Statistical Analysis of time series data.
• To identify the broader nature of time series data i.e.
stationary or non-stationary.
• To develop the regression of one time series variable on
the other time series variable.
Liner Time Series Econometrics

The linear time series econometric models include

(a) Simple autoregressive (AR) models,


(b) Simple moving-average (MA) models,
(c) Mixed autoregressive moving-average (ARMA) models,
(d) Seasonal models,
(e) unit-root non stationarity,
(f) Regression models with time series errors, and
(g) Fractionally differenced models for long-range
dependence
Nonlinear Time Series
Econometrics

• The bilinear models of Granger and Andersen


• The threshold autoregressive (TAR) model of
Tong
• The state-dependent model of Priestley
• The Markov switching model of Hamilton
Thanks

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