Econometrics in Theory and Practice by Panchanan Das

Author:Panchanan Das
Language: eng
Format: epub
ISBN: 9789813290198
Publisher: Springer Singapore

10.2 Univariate Time Series Model

It is possible to formulate univariate econometric model with a time series variable. This is because a time variable is random and we can get a lot of information by exploiting the randomness behaviour of the series. In this section, we will discuss the type of DGP followed by the series and find out the restrictions under which the series becomes stationary. The most popular univariate models that are used to examine the stochastic behaviour of a series are:1.Autoregressive (AR) process,

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