ESSSSDA25-2W – ESSSSDA 2025 2W: Time Series and Collections of Them

Welcome!

2W: Advanced Time Series/Panel

news

I hope you are ready!

Robert W. Walker

Day 1: Time, Decomposition, and Summaries

panel data

time series

code

analysis

The data are in Stata format. The github for this course. There is also a link here for a local copy.

Robert W. Walker

Day 2: Time Series, Stationarity, and ARIMA Models

time series

code

analysis

We want to simulate data under an ARIMA (p, d, q) model. arima.sim wants inputs as a list where the expected length of the ar and ma vectors that will hold the actual values…

Robert W. Walker

Day 3: Dynamic Linear, ADL Models, and VARs

time series

code

analysis

Robert W. Walker

A Bit More on Characteristic Roots

time series

code

analysis

I was mistaken about one thing that I said yesterday and I need to correct it. There are stability conditions for the ar and ma processes that revolve around the roots of…

Robert W. Walker

Day 4: Cointegration

time series

code

analysis

This is an example with an ECM from a model presented by DeBoef and Keele in their excellent paper “Taking Time Seriously: Dynamic Regression.” The data come from a paper…

Robert W. Walker

Day 5: Equation Balance to Wrap Up Week 1

time series

code

analysis

The article by Pickup and Kellstedt forms the basis for summary remarks on time series and a useful transition into the study of multiple time series formally for week two.

Robert W. Walker

Day 6: Panel Data

panel data

code

analysis

The panelr package vignette on between-within

Robert W. Walker

Day 7: Missing Data

panel data

code

analysis

Two objectives. Load the data and transform it into a pdata.frame for now.

Robert W. Walker

Day 8: Panel Models for Limited Outcomes

panel data

code

analysis

Two core issues remain: the spatial and the temporal. There are fewer well worked diagnostics for this than for the pure linear case owing to partial observability and/or…

Robert W. Walker

Day 9: DPD and GMM

panel data

code

analysis

?formula gives you insights into the way to structure generic formula objects in R. The I() construct is a consistent and clear way in R’s foundations to specify functional…

Robert W. Walker

Day 10: Causal Inference in Panels and TWFE

panel data

code

analysis

A nice tracker of DiD packages for R

Robert W. Walker

Simulated Time Series and their ACF and PACF

Using webr to showcase simulated arima processes, written in the form ARIMA(p, d, q).

Two Bits of Very Recent Interesting News

time series

code

analysis

From the journal Nature, how do scientists treat null findings?

Robert W. Walker

A Clarification on Mundlak and Related Things

panel data

time series

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analysis

My discussion of two-way fixed effects and the Mundlak estimator on Friday merits backfilling and rendering clear some things I have previously said or noted throughout the…

Robert W. Walker

Wednesday Talk Links

code

analysis

The talk slides

Robert W. Walker