Time Series Analysis

Hi! I am gradually moving this site to r-econometrics.com. You will find the most recent content there.

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

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.

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