Transcription of Lecture 1: Stationary Time Series
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Lecture 1: Stationary Time Series
Lecture 1: Stationary Time Series 1 IntroductionIf a random variableXis indexed to time, usually denoted byt, the observations{Xt, t T}iscalled a time Series , whereTis a time index set (for example,T=Z, the integer set).Time Series data are very common in empirical economic studies. Figure 1 plots some frequentlyused variables. The upper left figure plots the quarterly GDP from 1947 to 2001; the upper rightfigure plots the the residuals after linear-detrending the logarithm of GDP; the lower left figureplots the monthly S&P 500 index data from 1990 to 2001; and the lower right figure plots the logdifference of the monthly S&P.
Lecture 1: Stationary Time Series∗ 1 Introduction If a random variable X is indexed to time, usually denoted by t, the observations {X t,t ∈ T} is called a time series, where T is a time index set (for example, T = Z, the integer set).
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