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Introduction to Time Series Regression and Forecasting (SW Chapter 14)

Introduction to Time Series Regression and Forecasting (SW Chapter 14). Example #1 of time series data: US rate of price inflation, as measured by the quarterly percentage change in the Consumer Price Index (CPI), at an annual rate. Example #2: US rate of unemployment.

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Introduction to Time Series Regression and Forecasting (SW Chapter 14)

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  1. Introduction to Time Series Regression and Forecasting(SW Chapter 14)

  2. Example #1 of time series data: US rate of price inflation, as measured by the quarterly percentage change in the Consumer Price Index (CPI), at an annual rate

  3. Example #2: US rate of unemployment

  4. Why use time series data?

  5. Time series data raises new technical issues

  6. Using Regression for Forecasting

  7. Time Series data & Serial Correlation

  8. Example: Quarterly rate of inflation at an annual rate (U.S.)

  9. Example: U.S. CPI inflation

  10. Autocorrelation

  11. Sample autocorrelations

  12. Example

  13. Other economic time series:

  14. Other economic time series, ctd:

  15. Stationarity: a key requirement for external validity of time series regression

  16. First Order Autoregressive Model

  17. Example: AR(1) model of the change in inflation

  18. Example: AR(1) model of inflation – STATA

  19. Example: AR(1) model of inflation

  20. Example: AR(1) model of inflation

  21. Forecasts: terminology and notation

  22. Forecast errors

  23. Example: forecasting inflation using an AR(1)

  24. The AR(p) model

  25. Example: AR(4) model of inflation

  26. Example: AR(4) model of inflation

  27. Example: AR(4) model of inflation

  28. Digression: we used Inf, not Inf, in the AR’s. Why?

  29. So why use Inft, not Inft?

  30. Autoregressive Distributed Lag (ADL) Model

  31. Example: inflation and unemployment

  32. The empirical U.S. “Phillips Curve,” 1962 – 2004 (annual)

  33. The empirical (backwards-looking) Phillips Curve, ctd.

  34. Example: dinf and unem

  35. Example: ADL(4,4) model of inflation & Granger causality test

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