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Econometrics for Daily Lives, Volume I by Tam Bang Vu

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CHAPTER 5

Simple Dynamic Models in Time-Series Data

Having learned about heteroscedasticity, Touro was wondering what particular problems could occur with time-series data. Prof. Metric commends him for a good question and says that we will discuss these problems in this chapter and will be able to:

1. Detect the autocorrelation in time-series data and master the corrections;

2. Analyze the autoregressive models and applications;

3. Explain other dynamic models and perform the relevant tests;

4. Apply Excel into estimating the models learned in (1), (2), and (3).

Prof. Metric says that dynamic models examine the continuous impact of any change over more than one period. We will examine the effect in three ways: lag values of the error, lag ...

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