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

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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.

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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

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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…

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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

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Stationary ARDL(1,1) as Cointegration?

panel data

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analysis

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

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Error Correction Modelling: Tony Blair Approval Ratings

panel data

code

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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

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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.…

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Structural Breaks ala Jong Hee Park

panel data

code

analysis

Plot the regimes

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Dynamics in Latent Variables

Reuning, Kenwick & Fariss — Political Analysis (2019)

panel data

code

analysis

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Day 6: Panel Data

panel data

code

analysis

The panelr package vignette on between-within

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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

Multiple Imputation for Cross-Sectional Time Series Data

Implementing Honaker & King (2010) with Amelia II, plm, and Stata mi/xtreg

panel data

code

analysis

Cross-sectional time series (TSCS) data — also called panel or longitudinal data — pose particular challenges for multiple imputation. Standard imputation methods treat…

Robert W. Walker

Day 7: Missing Data

panel data

code

analysis

Cross-sectional time series (TSCS) data — also called panel or longitudinal data — pose particular challenges for multiple imputation. Standard imputation methods treat…

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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…

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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

Fixed and Random Effects Models: A Worked Example

REWB Models with the Cornwell–Rupert PSID Wages Panel

panel data

code

analysis

The examples use the Cornwell–Rupert PSID Males Wages Panel (Vella & Verbeek 1998), available as Males in R’s plm package: 545 male workers observed annually from 1980 to…

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Day 10: Wrapping Up, Causal Models, and Related Things

panel data

code

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A nice tracker of DiD packages for R

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Day 10.1: Causal Inference in Panels and TWFE

panel data

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Topic: Staggered treatment timing, two-way fixed effects (TWFE), and modern robust estimators Reference Data: mpdta (Callaway–Sant’Anna 2021; also used in Goodman-Bacon 2021…

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

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

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2025 Wednesday Talk Links

code

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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