Time Series Topics

Work in progress (March 2018). I will try to update this page over the next few months.

This section is intended to provide an overview of the relevant issues in (macro)economic time series analysis. Again the standard disclaimer: This site does not replace a good textbook, but it should help you to get a grasp of the basic concepts more quickly than if you learned it on your own.

The intended structure of this site is:

Stationarity

Univariate models (only one dependent variable)

  • Autoregression
  • Moving averages
  • Conditional heteroskedasticity

Multivariate models (multiple dependent variables)

  • Vector autoregression (VAR)
  • Impulse response analysis and variance decomposition
  • Cointegration and vector error correction models (VECM)

Every entry should become a link once I finish an article about it.