文章基本信息

标题：Selecting appropriate methodological framework for time series data analysis
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作者：Min B. Shrestha ; Min B. Shrestha ; Guna R. Bhatta 等
期刊名称：The Journal of Finance and Data Science
印刷版ISSN：2405-9188
出版年度：2018
卷号：4
期号：2
页码：71-89
DOI：10.1016/j.jfds.2017.11.001
语种：English
出版社：Elsevier
摘要：AbstractEconomists 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.
关键词：Time series analysis;Unit root test;Methodological framework;Money–price relationship in Nepal