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Introduction to Time Series

Introduction to Time Series. Prepared by: Bhakti Joshi February 13, 2012. Data. TIME SERIES. CROSS-SECTION DATA. Data (Contd). PANEL DATA : CROSS- SECTION + TIME SERIES. Time Series: Definition.

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Introduction to Time Series

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  1. Introduction to Time Series Prepared by: Bhakti Joshi February 13, 2012

  2. Data TIME SERIES CROSS-SECTION DATA

  3. Data (Contd) PANEL DATA : CROSS- SECTION + TIME SERIES

  4. Time Series: Definition A sequence of numerical data points in successive order, usually occurring in uniform intervals.(daily, monthly, quarterly, semi-annually or annually). Time series analysis is a forecasting or predicting too for any decision making processRead more: http://www.investopedia.com/terms/t/timeseries.asp#ixzz1mCNG2jEZ

  5. Time Series: Identifying Variations • Secular trend – the value of a variable tends to increase or decrease over a long period of time • Cyclical fluctuation – business cycles that reach its peak above the trend line followed by a slump below the trend and so on • Seasonal variation – involves pattern of change within a year that tend to be repeated from year to year • Irregular variation – completely unpredictable and random movement

  6. Secular Trend or Trend Population between FY05 and FY11 (In million) Source: Reserve Bank of India (RBI)

  7. Cyclical Fluctuation GDP at Factor Cost FY05 and FY11 (Rupees crore) FY05 FY06 FY07 FY09 FY10 FY11 FY08

  8. Seasonal Variation Agriculture Income FY05 and FY11 (Rupees crore) FY05 FY06 FY07 FY09 FY10 FY11 FY08

  9. Forecasting with Linear trend Yi = a + bt Σ Σ Yi XiYi a = b = Σ n Xi2 where Xi equals a particular time period ‘t’ minus mid-level time period ^ ^ Yi = a + bXi, Yi equals estimated values of Yi used for forecasting future Yi

  10. Forecasting with Linear trend Yi = a + bt Calculate trend values? Can you calculate trend values for 2012?

  11. Forecasting with Linear trend – Problem 2 Calculate trend values? Can you calculate trend values for 2012?

  12. Moving Averages (MA)

  13. Moving Averages (MA) • Sum of the average quarters should be equal to or close to 400 • Grand average across 4 quarters must be close to or equal to 100 • The above mentioned implies that there are no seasonal fluctuations

  14. Calculate Deseasonalised Data

  15. Email: bhaktij@gmail.comWebsite: www.headscratchingnotes.net

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