Selecting appropriate methodological framework for time series data analysis
| Autor: | Min B. Shrestha, Guna Raj Bhatta |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Computer science 020209 energy Structural break 02 engineering and technology computer.software_genre Data type lcsh:QA75.5-76.95 0502 economics and business lcsh:Finance lcsh:HG1-9999 0202 electrical engineering electronic engineering information engineering Time series 050208 finance Time series data analysis Applied Mathematics 05 social sciences Computer Science Applications Test (assessment) Method selection Face (geometry) Data analysis Business Management and Accounting (miscellaneous) Data mining lcsh:Electronic computers. Computer science computer Finance |
| Zdroj: | Journal of Finance and Data Science, Vol 4, Iss 2, Pp 71-89 (2018) |
| ISSN: | 2405-9188 |
| Popis: | Economists face method selection problem while working with time series data. As time series data may possess specific properties such as trend and structural break, common methods used to analyze other types of data may not be appropriate for the analysis of time series data. This paper discusses the properties of time series data, compares common data analysis methods and presents a methodological framework for time series data analysis. The framework greatly helps in choosing appropriate test methods. To present an example, Nepal's money–price relationship is examined. Test results obtained following this methodological framework are found to be more robust and reliable. Keywords: Time series analysis, Unit root test, Methodological framework, Money–price relationship in Nepal |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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