Introduction to Econometrics
Chapter 11 : Time series models
By Lund University
Time series models
Univariate time series models
Univariate time series models
Time series data
Stationarity
The AR(1) process
The AR(p) process
Test for unit root
Multivariate time series models
Multivariate time series models
LRM with time series data – the static model
The properties of the OLS estimator in the static model
ADL(p,q) model
Estimating ADL(p,q) models
Long run and short run effects in ADL models
Autocorrelation
By autocorrelation in a regression model, we mean that the error term in this period depends on its value in previous periods. We will begin by looking at the Breusch-Godfrey test for autocorrelation. If we find that autocorrelation is present then the standard errors from OLS are no longer useful and we will look at robust standard errors. If it can be assumed that the error terms follow an AR(1) process, then it is possible to replace OLS with an efficient estimator.