A Time Series Analysis

Gandalph

Hey guys,

Currently doing a Masters in Finance at the moment and for my end of year project I have to write a paper.

I am doing a Time Series Analysis on some data I plan to find but I would love some recommendations on any texts/papers/articles on the proper fashion of how to conduct one, preferably something that explains in Lehman's terms as I am no expert in this sort of academic field (Conducting regressions and such in Econometrics class is a bit of a tough one for me).

I was just wondering have any of you come across any of the aforementioned materials that could help me with this?

Ostrom

Sean Becketti's 'time series analysis using stata' is a fine text (using it for a month now, but it only covers single unit). Pay attention to the basic concepts - autocorrelation and colinearity are major concerns in time series and can inflate r^2 and t-values leading to spurious models.

Quite a bit of time series is figuring out the right combination of transformations and lag specifications to soak up autocorrelation and minimise colinearity, so spend some time getting this down. Diagnostics are very important in this regard (to a greater extent than cross section regression), so take your time running through your descriptive and graphic output before rushing into model building.

Most standard texts will give some guidelines for model building along these lines, and will go into the standard estimation methods (ols, autoregressive error models, error correction models). Published research often reports a combination of these, so you wont go too far wrong with the standard methods. Stata has a well-furnished set of help screens with worked examples which are very useful.

Gandalph

Completely forgot about this thread but thanks for the response I am going to get looking into it right away.

Ostrom

Check out Woolridges Introductory Econometrics, it explains it quite well. Also a paper by DeBoef and Keele from 2008 called (I think) 'Taking Time Seriously.' Between them you should be sorted for the basics.

Black Swan

I've used Time Series Analysis, 2nd edition (1990) by Charles W. Ostrom, as well as Time Series Analysis (2008) by Henrik Medsen, the latter having good examples across disciplines.

Gandalph

Cheers guys. I've used the Wooldridge book in first semester econometrics and found better than most beginner texts, thanks for the reminder I've picked it up again from the library! Have also just downloaded the paper ready to give it a read. I think I picked up one of the Time Series Analysis books from the library but only had a skim through, couldn't be sure though as I've checked out like a dozen, I'll have another look