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    Introducere În Analiza Seriilor de Timp

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    Eduard Edw
    This document provides an introduction to time series analysis. It lists sources of time series data and relevant bibliography. It discusses problems with modeling economic time series, such as small sample sizes, high interdependence between economic series, and non-stationarity due to factors like productivity growth and inflation. The goal of time series modeling is to identify the systematic component so that the residual series is white noise. It notes differences between time series modeling and econometrics, such as the use of the Breuch-Godfrey LM test instead of Durbin-Watson to test for autocorrelation.

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    Introducere În Analiza Seriilor de Timp

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    Eduard Edw
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    This document provides an introduction to time series analysis. It lists sources of time series data and relevant bibliography. It discusses problems with modeling economic time series, such as small sample sizes, high interdependence between economic series, and non-stationarity due to factors like productivity growth and inflation. The goal of time series modeling is to identify the systematic component so that the residual series is white noise. It notes differences between time series modeling and econometrics, such as the use of the Breuch-Godfrey LM test instead of Durbin-Watson to test for autocorrelation.

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    This document provides an introduction to time series analysis. It lists sources of time series data and relevant bibliography. It discusses problems with modeling economic time series, such as small sample sizes, high interdependence between economic series, and non-stationarity due to factors like productivity growth and inflation. The goal of time series modeling is to identify the systematic component so that the residual series is white noise. It notes differences between time series modeling and econometrics, such as the use of the Breuch-Godfrey LM test instead of Durbin-Watson to test for autocorrelation.

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    36 views4 pages

    Introducere În Analiza Seriilor de Timp

    Uploaded by

    Eduard Edw
    This document provides an introduction to time series analysis. It lists sources of time series data and relevant bibliography. It discusses problems with modeling economic time series, such as small sample sizes, high interdependence between economic series, and non-stationarity due to factors like productivity growth and inflation. The goal of time series modeling is to identify the systematic component so that the residual series is white noise. It notes differences between time series modeling and econometrics, such as the use of the Breuch-Godfrey LM test instead of Durbin-Watson to test for autocorrelation.

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    Introducere în analiza seriilor de timp

    ”He who controls the past controls the future”. George Orwell in "1984".
    "Time is a great teacher, but unfortunately it kills all its pupils”. Louis Hector Berlioz

    Surse de date
    www.datamarket.com
    www.bnro.ro
    www.insse.ro
    http://ec.europa.eu/eurostat/data/database
    http://www.york.ac.uk/depts/maths/data/ts/

    Bibliografie
    D. Peña, G. C. Tiao, R. S. Tsay. A course in time series analysis. John Wiley and Sons, Inc. 2001
    Ender, W. Applied EconometricTime Series, http://time-series.net
    C. Chatfield. The analysis of time series: an introduction. Chapman & Hall, CRC, 1996.
    C. Chatfield. Time-series forecasting. Chapman & Hall, CRC, 2000.
    D.S.G. Pollock. A handbook of time-series analysis, signal processing and dynamics. Academics Press, 1999.
    J. D. Hamilton. Time series analysis. Princeton Univ. Press, 1994.
    A First Course in Time Series Analysis-Examples with SAS-Chair of Statistics, University of Wurzburg 2006
    (http://www.statistik-mathematik.uni-
    wuerzburg.de/fileadmin/10040800/user_upload/time_series/the_book/2012-August-01-times.pdf )
    10
    15
    20
    25
    30

    0
    5

    -25
    -20
    -15
    -10
    -5
    0%
    5%
    10%
    15%
    20%
    25%
    30%
    35%
    40%
    45%
    1873 1
    1879 1600
    1885 1870
    1891
    1940
    1897
    1952
    1903
    1955
    1909
    1958
    1915
    1921 1961
    1927 1964
    1933 1967
    1939 1970
    1945 1973
    1951 1976
    1957 1979

    Inflation Rate in UK (%)


    1963 1982
    1969 1985
    1975 1988
    1981 1991
    1987
    Share of World GDP

    1994
    1993
    1997
    1999
    2000
    2005
    2003
    2006
    Spain
    China
    United States

    United Kingdom
    13000

    12000

    11000

    10000

    9000

    8000

    7000

    6000

    5000

    Romania - GDP per capita, PPP (constant 2005 international $)

    Probleme cu modelarea seriilor de timp în economie


    - Eșantioane relative mici;
    - Seriile de timp economice prezintă un grad ridicat de interdependență;
    - Seriile de timp economice au o structură de autocorelație semnificativ nenulă;
    - Seriile de timp din economice sînt în general nestaționare ( cauze posibile: creșterea productivității și
    creșterea inflației);
    - Inferența statistică clasică nu poate fi aplicată seriilor de timp economice, întrucît nu putem vorbi de
    eșantioane aleatoare, ori de același DGP (data generating process).

    Yt=componenta sistematică+componenta nesistematică


    yt  Td  Ts  S d  S s  yt*   t .

    Modelarea seriilor de timp = identificarea componentei sistematice astfel încît seria reziduurilor
    este zgomot alb (white noise).
    Ce nu folosim din econometrie în modelarea seriilor de timp
    - Nu folosim Durbin-Watson pentru testarea autocorelării, ci Breuch-Godfrey LM test.
    - Nu putem testa multicoliniaritatea.
    - Modelul estimat trebuie să aibă termen liber.
    - Autocorelarea într-un model de serii de timp fără variabile cu întîrziere duce la rezultate inconsistente.
    - De cele mai multe ori nestaționaritatea este indusă de trenduri stochastice, nu de trenduri liniare.

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