Econometrics HT 18

Chapter 27 : Univariate time series models, lectures

By Lund University

We look at a single variable, such as inflation, when our sample is over time.

Univariate time series models

Time series data is different from cross sectional data that we have studied so far. We begin by looking at what is special about time series data and introduce a new important condition, namely stationarity. We look at he most basic univariate time series models, the AR(p) models and conclude with testing for unit root.

Time series data

Stationarity

The AR(1) process

The AR(p) process