chapter  19
13 Pages

TIME SERIES ECONOMETRICS

WithClive W. J. Granger

A great deal of the data found in the areas of macroeconomics, finance and trade comes in the form of time series, as does much of the data in industrial organization and parts of microeconomics. A time series is a sequence of observations on an economic variable at essentially equal intervals of time; for example, industrial production is measured or estimated monthly, GNP quarterly and population annually. A rather different type of data consists of the prices of a stock of all transactions on an exchange during a day; observations are then not taken at constant intervals, although similar techniques of analysis are generally used.