计量经济学Ch_10_Wooldridge_5e_PPT.ppt

? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. Chapter 10 Basic Regression Analysis with Time Series Data Wooldridge: Introductory Econometrics: A Modern Approach, 5e ? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. Chapter 10 Analyzing Time Series: Basic Regression Analysis The Nature of Time Series Data Examples of Time Series Regression Models Finite Sample Properties of OLS under Classical Assumptions Functional Form, Dummy Variables, and Index Numbers Trends and Seasonality Assignments: Promblems 6, 7 Computer Exercises C6, C11, C12 ? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. Temporal ordering of observations; may not be arbitrarily reordered Typical features: serial correlation/nonindependence of observations How should we think about the randomness in time series data? ? The e of economic variables (. GNP, Dow Jones) is uncertain; they should therefore be modeled as random variables ?A sequence of random variables indexed by time is called a stochastic process or a time series process . ? Cross-sectional data, random sampling; Time series data, es of random variables ? Randomness does e from sampling from a population ?? Sample “ = the one realized path of the time series out of the many possible paths the stochastic process could have taken Chapter 10 Analyzing Time Series: Basic Regression Analysis The Nature of Time Series Data ( 1/ 2 ) Chapter ? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. Example: US inflation and unemployment rates 1948-2003 Here, th