Selecting appropriate methodological framework for time series data analysis

By M. Shrestha, G. Bhatta. Journal of Finance and Data Science, 2018

468 citations recorded by the source corpus.

Abstract 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.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/fd56ef4866cde14807a3a9dcf94f2ac3d8807da8