Applied Time Series Analysis for the Social Sciences

1Introduction

1.1 Why Time Series and Why This Book?

Consider the following problems:

1. In testimony to US congressional committees in September of 2007, General David Petraeus noted that “the overall number of security incidents has declined in 8 of the past 12 weeks.”¹ A graph of US troop fatalities in Iraq beginning in February of 2007, when the surge began, is consistent with General Petraeus’s claim and appears at first glance to provide dramatic support for the belief that the surge was effective; see the graph on the left‐hand side of Figure 1.1. The graph on the right‐hand side of the figure, though, raises questions about whether the declining number of deaths should be attributed to the surge. While it is true that there was a dramatic decrease in the number of US troop fatalities immediately after the beginning of the surge, there were equally dramatic decreases– and increases– in the number of troop fatalities at other times. Indeed, the series’ volatility is apparent, raising the possibility that the reduction attributed to the surge might just as reasonably be attributed to chance variation. In this case, the use of time series techniques is motivated by an important research design issue.
2. Studies of the relationship between politicians’ electoral success and the economic well‐being of their constituents are a staple in the voting behavior literature. Researchers attempting to extend these analyses by election results over time may find that the residuals from ...