A COMPANION TO Theoretical Econometrics

Time Series and Dynamic Models

Aris Spanos

1 Introduction

This chapter discusses certain dynamic statistical models of interest in model­ing time series data. Particular emphasis is placed on the problem of statistical adequacy: the postulated model does not exhibit departures from the underlying assumptions. Statistical models are specified in terms of probabilistic assump­tions on the observable stochastic processes involved, which can often be as­sessed a priori using graphical techniques. The primary objective is to render empirical modeling of time series an informed systematic procedure that gives rise to reliable empirical evidence.

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A COMPANION TO Theoretical Econometrics

Normality tests

Let us now consider the fundamental problem of testing disturbance normality in the context of the linear regression model: Y = Xp + u, (23.12) where Y = (y1, ..., …

Univariate Forecasts

Univariate forecasts are made solely using past observations on the series being forecast. Even if economic theory suggests additional variables that should be useful in forecasting a particular variable, univariate …

Further Research on Cointegration

Although the discussion in the previous sections has been confined to the pos­sibility of cointegration arising from linear combinations of I(1) variables, the literature is currently proceeding in several interesting …

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