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Time series analysis

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Macroeconometrics and Time Series Analysis

Part of the book series: The New Palgrave Economics Collection ((NPHE))

Abstract

Any series of observations ordered along a single dimension, such as time, may be thought of as a time series. The emphasis in time series analysis is on studying the dependence among observations at different points in time. What distinguishes time series analysis from general multivariate analysis is precisely the temporal order imposed on the observations. Many economic variables, such as GNP and its components, price indices, sales, and stock returns are observed over time. In addition to being interested in the contemporaneous relationships among such variables, we are often concerned with relationships between their current and past values, that is, relationships over time.

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Authors
  1. Francis X. Diebold
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  2. Lutz Kilian
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  3. Marc Nerlove
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Editor information

Editors and Affiliations

  1. University of Wisconsin-Madison, USA

    Steven N. Durlauf

  2. Cornell University, USA

    Lawrence E. Blume

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© 2010 Palgrave Macmillan, a division of Macmillan Publishers Limited

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Diebold, F.X., Kilian, L., Nerlove, M. (2010). Time series analysis. In: Durlauf, S.N., Blume, L.E. (eds) Macroeconometrics and Time Series Analysis. The New Palgrave Economics Collection. Palgrave Macmillan, London. https://doi.org/10.1057/9780230280830_35

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