Use of Time Series in Building Models and Making Inferences

Abstract

Time series are used in many studies either for model building or inference. We must be careful when choosing what kind of time series data is used in the process. In this seminar, we will begin with some issues related to the use of aggregate time series. Since several time series are often used in a study of the relationship of variables, we will also consider vector time series analysis and modeling. Although the basic procedures of model building between univariate time series and vector time series are the same, there are some important phenomena which are unique to vector time series. Therefore, we will also discuss some issues related to vector time models. Understanding these issues is important when either a univariate or a vector time series is used in building models and making inferences.