Applied Time Series Analysis for the Social Sciences

Specification, Estimation, and Inference

Regina M. Baker

• Publisher: Wiley
• Year: 2025
• Print ISBN: 9780470749937
• eBook ISBN: 9781119010487
• Edition: 1
• Topic: Mathematics
• Subtopic: Probability & Statistics
• Index: Mathematics

EXPLORE THIS INDISPENSABLE AND COMPREHENSIVE GUIDE TO TIME SERIES ANALYSIS FOR STUDENTS AND PRACTITIONERS IN A WIDE VARIETY OF DISCIPLINES

Applied Time Series Analysis for the Social Sciences: Specification, Estimation, and Inference delivers an accessible guide to time series analysis that includes both theory and practice. The coverage spans developments from ARIMA intervention models and generalized least squares to the London School of Economics (LSE) approach and vector autoregression. Designed to break difficult concepts into manageable pieces while offering plenty of examples and exercises, the author demonstrates the use of lag operator algebra throughout to provide a better understanding of dynamic specification and the connections between model specifications that appear to be more different than they are.

The book is ideal for those with minimal mathematical experience, intended to follow a course in multiple regression, and includes exercises designed to build general skills such as mathematical expectation calculations to derive means and variances. Readers will also benefit from the inclusion of:

• A focus on social science applications and a mix of theory and detailed examples provided throughout
• An accompanying website with data sets and examples in Stata, SAS and R
• A simplified unit root testing strategy based on recent developments
• An examination of various uses and interpretations of lagged dependent variables and the common pitfalls students and researchers face in this area
• An introduction to LSE methodology such as the COMFAC critique, general-to-specific modeling, and the use of forecasting to evaluate and test models

Perfect for students and professional researchers in the political sciences, public policy, sociology, and economics, Applied Time Series Analysis for the Social Sciences: Specification, Estimation, and Inference will also earn a place in the libraries of post graduate students and researchers in public health, public administration and policy, and education.

Table of contents

• Cover
• Table of Contents
• Title Page
• Copyright
• Acknowledgments
• About the Companion Website
• 1 Introduction
• 2 Foundations
• 3 Properties of Time Series: Mean and Variance Stationarity
• 4 Properties of Time Series: Autocorrelation
• 5 Autocorrelation: Univariate ARIMA Estimation and Forecasting
• 6 ARIMA Intervention Models
• 7 ARIMA with Continuous Explanatory Variables
• 8 OLS and the Gauss–Markov Assumptions
• 9 Dynamic Specification: Distributed Lag Models
• 10 Regression with Non‐stationary Series: Cointegration and Error Correction Models
• 11 The LSE Approach: Encompassing, General‐to‐Specific Modeling, and Forecasting Success
• 12 A Brief Introduction to Vector Autoregression
• Index
• End User License Agreement