Final Project - Stat 531 / Econ 677

The final project should involve an analysis of the relationship between two or more time series. The report is due on Tuesday, April 28 (the official final exam slot for this course) but may be submitted earlier. The final project can be (but does not have to be) a continuation of your midterm project. It must, however, read as a self-contained report; you may re-use any appropriate material.

The report should begin by presenting some detail concerning your data and where you obtained it. Explain the scientific questions that you are investigating. As for the midterm project, you should choose data that interest you. You should not knowingly use the same data as anyone else in the class, though you should feel free to discuss your project.

The report should not assume that the reader is familiar with any specific software package. In particular, you should not usually present your computer code. However you may comment on R commands, or other computational issues, of particular interest. It is expected that the report will contain a graphical investigation of the data, consideration of second order properties in both time (e.g. estimates of autocovariance, cross-covariance) and frequency domain (e.g. estimates of the spectrum, cross-spectrum), a fitted model (which could be, for example, a lagged regression model with ARMA errors), some residual analysis and discussion of the results. It will probably be necessary to look at the time series individually before studying their relationship.

The report is to be no longer than 10 pages, including figures. Points will be lost if it exceeds that length. The report will be graded on the following two considerations.

(i) Statistical methods: choice of methods, accuracy and clarity of the statistical presentation, the capabilities and limitations of the statistical methods.

(ii) Subject matter: motivation for the statistical analysis, clearly stated goals and conclusions.

You have some flexibility whether to focus on the subject matter addressed or on the statistical methods. Perhaps (i) may be more appropriate for statisticians, and (ii) for economists, scientists and engineers. Hopefully you'll be able to do a bit of both :)