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13.1 Introduction
A time series is a sequence of numerical data in which each item is associated with a particular instant in time One can quote numerous examples: monthly unemployment, weekly measures of money supply, daily closing prices of stock indices, and so on In fact with the current progress in computer technology we have daily series on interest rates, the hourly "telerate" interest rate index, and stock prices by the minute (or even second).
13.1 Introduction
An analysis of a single sequence of data is called univariate time-series analysis An analysis of several sets of data for the same sequence of time periods is called multivariatetime-series analysis or, more simply, multiple time-series analysis
13.1 Introduction
For a long time there has been very little communication between econometricians and time-series analysts. Econometricians have emphasized economic theory and a study of contemporaneous relationships. Lagged variables were introduced but not in a systematic way, and no serious attempts were made to study the temporal structure of the data Theories were imposed on the data even when the temporal structure of the data was not in conformity with the theories
13.1 Introduction
The time-series analysts, on the other hand, did not believe in economic theories and thought that they were better off allowing the data to determine the model Since the mid-1970s these two approachesthe time-series approach and the econometric approachhave been converging Econometricians now use some of the basic elements of time-series analysis in checking the specification of their econometric models, and some economic theories have influenced the direction of time-series work.