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1、AnalysisofTimeSeriesDataUsingR1ZONGWUCAIa,b,cE-mailaddress:zcai@uncc.eduaDepartmentofMathematics&StatisticsandDepartmentofEconomics,UniversityofNorthCarolina,Charlotte,NC28223,U.S.A.bWangYananInstituteforStudiesinEconomics,XiamenUniversity,ChinacCollegeofEconomicsandManagement,ShanghaiJiaoto
2、ngUniversity,ChinaJuly30,2006c2006,ALLRIGHTSRESERVEDbyZONGWUCAI1Thismanuscriptmaybeprintedandreproducedforindividualorinstructionaluse,butmaynotbeprintedforcommercialpurposes.PrefaceThepurposeofthislecturenotesisdesignedtoprovideanoverviewofmethodsthatareusefulforanalyzingunivariateandmultiv
3、ariatephenomenameasuredovertime.Sincethisisacourseemphasizingapplicationswithboththeoryandapplications,thereaderisguidedthroughexamplesinvolvingrealtimeseriesinthelectures.Acollectionofsimpletheoreticalandappliedexercisesassumingabackgroundthatincludesabeginninglevelcourseinmathematicalstati
4、sticsandsomecomputingskillsfollowseachchapter.Moreimportantly,thecomputercodeinRanddatasetsareprovidedformostofexamplesanalyzedinthislecturenotes.SomematerialsarebasedonthelecturenotesgivenbyProfessorRobertH.Shumway,DepartmentofStatistics,UniversityofCaliforniaatDavisandmycolleague,Professor
5、StanislavRadchenko,DepartmentofEconomics,UniversityofNorthCarolinaatCharlotte.SomedatasetsareprovidedbyProfessorRobertH.Shumway,DepartmentofStatistics,Uni-versityofCaliforniaatDavisandProfessorPhillipsHansFransesatUniversityofRotterdam,Netherland.Iamverygratefultothemforprovidingtheirlecture
6、notesanddatasets.Contents1PackageRandSimpleApplications11.1ComputationalToolkits.............................11.2HowtoInstallR?................................31.3DataAnalysisandGraphicsUsingR–AnIntroduction(109pages).....41.4CRANTaskView:EmpiricalFinance......................41.5CRANTaskVie
7、w:ComputationalEconometrics................82CharacteristicsofTimeSeries152.1Introduction....................................152.2StationaryTimeSeries..............................172.2.1Detrending................................212.2.2Differencing.
