ESSSSDA26-2J – ESSSSDA 2026 2J: Time Series and Collections of Them

Welcome!

2J: Advanced Time Series/Panel

news

I hope you are ready!

Robert W. Walker

xtsum equivalents

panel data

code

analysis

This has been implemented in a host of user libraries, e.g. this

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

On Effective Sample Size

Standard inference assumes independent observations. For \(n\) i.i.d. draws:

Day 3: Dynamic Linear, ADL Models, and VARs

time series

code

analysis

Robert W. Walker

Muddy ARIMA language and Estimation of ARIMA Models

panel data

code

analysis

There is a great blog post by Rob Hyndman from a while back explaining the confusing and varied usage of language surrounding models with ARMA processes and covariates of…

Robert W. Walker

Long-Run Effects in an ARDL(1,1) Model

panel data

code

analysis

An autoregressive distributed lag model of order (1,1) takes the form

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Day 4: Cointegration

time series

code

analysis

A reveal presentation

Robert W. Walker

Stationary ARDL(1,1) as Cointegration?

panel data

code

analysis

This is a really substantive methodological debate. Let me work through the core tension you’re identifying.

Robert W. Walker

Error Correction Modelling: Tony Blair Approval Ratings

panel data

code

analysis

This document walks through an Error Correction Model (ECM) applied to Tony Blair’s approval ratings. The goal is to understand how approval ratings respond to the public’s…

Robert W. Walker

Day 5: Equation Balance to Wrap Up Week 1

time series

code

analysis

The Main reveal presentation

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ARCH Models: Blair Approval Rating

panel data

code

analysis

This document works through an ARCH modelling example using Tony Blair’s monthly approval ratings from June 1997 onward. Each section presents R and Stata tabs side by side.…

Robert W. Walker

Dynamics in Latent Variables

Reuning, Kenwick & Fariss — Political Analysis (2019)

panel data

code

analysis

Robert W. Walker

Kalman Filters and Latent Variables

panel data

code

analysis

Dynamic Item Response Theory (IRT), dynamic factor models, and the Kalman filter are all concerned with the same fundamental problem: inferring the evolution of hidden…

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

code

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

2025 Wednesday Talk Links

code

analysis

The talk slides

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A Bit More on Characteristic Roots

time series

code

analysis

There are stability conditions for the ar and ma processes that revolve around the roots of the characteristic equations. The so-called stationarity and invertability…

Robert W. Walker

A Bit More on Characteristic Roots

time series

code

analysis

There are stability conditions for the ar and ma processes that revolve around the roots of the characteristic equations. The so-called stationarity and invertability…

Robert W. Walker