Times Series Part II
Overview
1
Unit Roots
1.1
Example: Revisit Fertility
1.2
Wages and Productivity
2
Dynamically Complete
3
Testing for Serial Correlation
3.1
Example: Revisit Phillip’s Curve
Static Model
First difference
Test for Serial Correlation: Durban-Watson Test
Test for Serial Correlation: AR(1) Test
FDL Model
3.2
Example: Revisit Puerto Rican Employment and Minimum Wage
Durbin-Watson Test
Durbin’s Alternative Statistics
3.3
Test AR(3) serial correlation
4
Correct for Serial Correlation
4.1
Prais-Winsten Estimation in the Event Study
OLS
Prais-Winsten
4.2
Inflation and Prais
OLS
Prais-Winsten
Prais-Winsten with Cochrane-Orcutt Transformation
First Difference
Compare
4.3
Differencing and Serial Correlation
4.3.1
Inflation and Deficits on Interest Rates
Static Model
First differencing
4.4
Serial Correlation Robust Standard Errors
OLS
Newey-West Estimator Order of 1
Newey-West Estimator Order of 2
Prais-Winsten
4.5
Testing for Heteroskedasticity in Time Series
OLS
Newey-West Estimator
References
Published with bookdown
Times Series Part II
Times Series Part II
Samuel Rowe adapted from Wooldridge (2011)
2025-09-19
Overview
Topics for Week 12:
Unit Roots
Testing for Serial Correlation
Correcting for Serial Correlation