Univariate Time Series Analysis

Kevin Sheppard

Data

  • All data from the Federal Reserve Economics Database (FRED) excluding the VWM return.
  • Data from 1959 until end of 2020.

Series

  • Industrial Production
  • Curvature of the Yield Curve
$$ \left(Y_{10}-Y_5\right)-\left(Y_{5}-Y_{1}\right) $$
  • Default Rate
$$ Y_{Baa} - Y_{Aaa} $$
  • US Construction workers
  • Housing Starts (Not Seasonally Adjusted)
  • Value-Weighted Market Return (CRSP)
  • Simulated AR(2)
$$ Y_t = 10 + 1.4 Y_{t-1} - 0.5 Y_{t-2} + \epsilon_t $$

Industrial Production Index

In [2]:
plot(orig.INDPRO)

Housing Starts (NSA)

In [3]:
plot(orig.HOUSTNSA)

Curvature of the Yield Curve

In [4]:
plot(curve)

The Default Premium

In [5]:
plot(default)

US Construction Workers

In [6]:
plot(orig.USCONS)