Comments on: Statistics bleg

By: nate

nate — Tue, 08 Sep 2009 05:12:21 +0000

Not sure that this is pertinent any more, but I would suggest taking a look at David Hendry’s “Dynamic Econometrics”, which is a great text insofar as he really helps illustrate the fundamental assumptions about the data generating process that give rise to different models.

As far as implementing standard time series models, Helmut Lutkepohl’s book(s) are great references. They make it comparatively straightforward to code up your own program in something like Matlab.

Anyhow, best of luck. Sounds fun.

By: Fernando

Fernando — Sat, 05 Sep 2009 15:38:37 +0000

That is correct – with stationary data the ECM is a restricted ADL model.

However, typically these models are used when data is not stationary, for that is when they have the greatest leverage. (Not sure what happens to the super consistency property of ECM in the context of stationary data)

In cases of non-stationarity, testing for co-integration is necessary but, in my experience, not always done.

By: Sancho

Sancho — Sat, 05 Sep 2009 11:38:28 +0000

Many things can go wrong when setting up a VAR, and impulse response are fairly sensitive to identification and restrictions. Setting up a error correction model is far from trivial even if some packages like Eviews or RATS/CATS can give you that feeling. My two cents: work with a time series guy. Isn’t division of labour and specialization one of the few things we hold dear?

By: kerimcan

kerimcan — Sat, 05 Sep 2009 02:46:16 +0000

Kennedy’s Guide to Econometrics is the first place I look at for econometrics.

@Fernando, Suzanna de Boef and Luke Keele showed in an article (“Taking Time Seriously”, AJPS 2008) that EC models can be used with stationary data. they are not limited to cointegrated time series.

By: Alex Tabarrok

Alex Tabarrok — Sat, 05 Sep 2009 02:02:55 +0000

Stock and Watson’s Introduction to Economerics is the place to begin – first edition is better than the second edition.

By: DRDR

DRDR — Sat, 05 Sep 2009 01:20:59 +0000

I first learned about VARs from reading the RATS User's Guide, and then I used Enders' book and Hamilton's book as a reference as needed. But I felt the RATS User's Guide had a very accessible introduction (see chapter 10 here)

By: looking for business start up ideas backed by real business trends and needs for future? | Business

Sat, 05 Sep 2009 00:54:15 +0000

[...] Statistics bleg â€“ Chris Blattman [...]

By: ugo

ugo — Fri, 04 Sep 2009 21:44:42 +0000

This paper http://papers.ssrn.com/sol3/papers.cfm?abstract_id=610319 by Love and Zecchino has something (but not much). At some point I had seen a pvar command for STATA written by the authors, but I donâ€™t think it is available on line. Christian Broda has a nice application in â€œTerms of Trade and Exchange Rate Regimes in Developing Countries.â€ Journal of International Economics Vol. 63, pp. 31-58, May 2004.
However, Iâ€™ve never seen a paper with a nice explanation of panel var, so if you find out let us know.

By: Veronica

Veronica — Fri, 04 Sep 2009 19:36:45 +0000

Chris,
Not that I have a lot of knowledge about econometrics but I do have a very good foundation so I will strongly recommend that you read:
1. Walter Enders “Applied Econometric Time Series”. This will set you up for some basic knowledge on time series matters. It also has some very good examples that can be pretty useful mathematically and … well for life somehow.
2. I don’t know how good this may sound but we used to practice in Eviews. Now this program is obviously not very popular among researchers but I have to say that, for somebody that is starting or refreshing his knowledge in time series, it may be a pretty friendly tool for practicing. Also, its help guide includes two things: instructions of how to apply the commands and use this program for specific estimations AND some econometric sense and theory of what you may be doing.
3. If you feel this book and Eviews are way too basic, I would strongly recommend the James D. Hamilton “Time Series Analysis”. In an personal opinion, it is too “dark” for my taste but, I’ve found friends (who are much more advaced than me in this “econometric world”) who really will describe it as their basic textbook when it comes to time series analysis.

Hope that helps!

By: Fernando

Fernando — Fri, 04 Sep 2009 19:24:41 +0000

1. Visit Prof. Neal Beck’s website and read his co-authored papers in time series, binary time series cross section, etc.

2. Read Walter Enders “Applied Econometric Time Series” – Although deals mainly with univariate time series, is good to understand some intricacies of stationarity, seasonality, etc.

3. More references for short and long panels in Greene’s and Baltagi’s latest textbooks, both of which touch on the subject.

4. Finally, a warning. Just because we can all write an error correction model, that does not make the process that generated the data error correction. For a process to be EC you obviously need to estimate an EC model, but also ensure the series (1) are integrated of the same order and, if so, (2) co-integrated (e.g. simply put, the residuals of the long term relation are stationary). Unfortunately to many papers ignore 1 and 2.

By: Josh N.

Josh N. — Fri, 04 Sep 2009 18:10:24 +0000

Should you receive a response by email, please share it on your blog. I have this same question about time series. Thanks