Week 10 - Intro to Time Series Econometrics

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Last updated 9:33 AM on 6/5/26
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5 Terms

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R2 Is usually higher in time series econometrics. Why?

  1. Time series data is often in an aggregate form

  2. Trending dependent variables

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Stationarity

  • A stochastic if the probability distribution of the stochastic process does not change over time

  • Formally the joint distribution of Yt is the same as the joint distriubtion of Yt+h

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Covariance Stationarity

A stochastic process, with a finite second moment E(xt) < ∞, is covariance stationary if:

  • E(xt) is constant

  • Var(xt) is constant

  • For any t,h Cov(Xt,Xt+h)

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Weak Dependence

A stationary series is weakly dependnet if xt and xt+h are ‘almost’ independent as h increases

  • Corr(xt,xt+h) tends to zero as h increases

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Asymptotic Properties of OLS

  1. TS 1’: Linearity and Weak dependence

  2. No perfect collinearity

  3. Zero conditional mean

  4. Homoskedasticity

  5. No serial Correlation