Time Series Analysis: Method and Substance Introductory Workshop on Time Series Analysis

Types of time series data

• Single time series
• U.S. presidential approval, monthly (1978:1-2004:7)
• Number of militarized disputes in the world annually (1816-2001)
• Changes in the monthly Dow Jones stock market value (1978:1-2001:1)
• Pooled time series
• Dyad-year analyses of interstate conflict
• State-year analyses of welfare policies
• Country-year analyses of economic growth

Properties of Time Series Data

• Property #1: Time series data have autoregressive (AR), moving average (MA), and seasonal dynamic processes.
• Because time series data are ordered in time, past values influence future values.
• This often results in a violation of the assumption of no serial correlation in the residuals of a standard OLS model.
• Cov[i, j] = 0 if i  j