Time Series Models: Further Topics
Economic time series often exhibit strong seasonal variation. For example, an investor in mortgage-backed securities might be interested in predicting future housing starts, and these are usually much lower in the winter months compared to the rest of the year. Figure 10.1(a) is a time series plot of the logarithms of quarterly urban housing starts in Canada from the first quarter of 1960 to final quarter of 2001. The data are in the data set Hstarts in R's Ecdat package.
KeywordsCovariance Income Resid Autocorrelation Volatility
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