doin’ time: applying arima time series to the social sciences katie searles doin’ time: applying...

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Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES Washington State University

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Page 1: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Doin’ Time: Applying ARIMA Time Series to

the Social Sciences

Katie Searles

Doin’ Time: Applying ARIMA Time Series to the Social Sciences

KATIE SEARLESWashington State University

Page 2: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

•Brief Introduction to:•Time Series•ARIMA•Interrupted Time Series

•Application of the Technique

Page 3: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Introduction to Time Series

Ordered time sequence of n observations* (x0, x1, x2, . . . , xt−1, xt, xt+1, . . . , xT ).

Type of regression analysis that takes into account the fact that observations are not independent (autocorrelation)

* (McCleary and Hay 1980)

Page 4: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Two goals of Time Series analysis: Identifying patterns represented by a sequence

of observations Forecasting future values

Time series data consists of 2 basic components: an identifiable pattern, and random noise (error)

Time Series Basics

Page 5: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Example of Time Series

Page 6: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

ARIMA(auto-regressive integrated moving average)

Page 7: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

ARIMA Assumptions

Absence of outliers Shocks are randomly distributed with a mean

of zero and constant variance over time Residuals exhibit homogeneity of variance

over time, and have a mean of zero Residuals are normally distributed Residuals are independent

Page 8: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

ARIMA

Identification (p,d,q) Estimation Diagnosis

Page 9: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

ARIMA

(p, d, q) random shocks affecting the trend p: the auto-regressive component (autocorrelation) d: integrated component q: the moving average component (randomizes

shocks) Specification of the model relies on an examination

of the autocorrelation function (ACF) and the partial autocorrelation function (PACF)

Page 10: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Interrupted Time Series Analysis

Mimics a quasi-experiment Intervention Transfer function

1. Onset (abrupt, gradual)

2. Duration (temporary, permanent)

Page 11: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Interrupted Time Series Analysis

1. The dependent series is “prewhitened”2. A transfer function is selected to estimate

the influence of the intervention on the prewhitened time-series

3. Diagnostic checks are run to ensure the model is robust

Page 12: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Issues with Time Series

Theoretical Practical

Page 13: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

date2/1/20058/1/20042/1/20048/1/20032/1/20038/1/20022/1/20028/1/2001

BU

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PIN

ION

90.00

80.00

70.00

60.00

50.00

40.00

*Data collected by the Gallup Poll

Approval Ratings for President Bush's First Term

Page 14: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

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date09/01/200404/01/200411/01/200306/01/200301/01/200308/01/200203/01/200210/01/200105/01/2001

Average Enemy Imagery Per Week for President Bush's First Term

Page 15: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

date09/01/200404/01/200411/01/200306/01/200301/01/200308/01/200203/01/200210/01/200105/01/2001

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Average Enemy Images Used Per Week for Bush's First Term with Intervention

*Each red line represents a 3 point decrease in President's Bush's approval ratings during his first term.

Page 16: Doin’ Time: Applying ARIMA Time Series to the Social Sciences Katie Searles Doin’ Time: Applying ARIMA Time Series to the Social Sciences KATIE SEARLES

Works Cited Box, G.E.P. and G.M. Jenkins (1976). Time Series Analysis:

Forecasting and Control. San Francisco: Holden-Day. Brockwell, P. J. and Davis, R. A. (1996). Introduction to Time

Series and Forecasting. New York: Springer-Verlag. Chatfield, C. (1996). The Analysis of Time Series: An

Introduction (5th edition). London:Chapman and Hall. Cochran, Chamlin, and Seth (1994). Deterrence or

Brutalization? Criminology, 32, 107-134. Granger, C.W.J. and Paul Newbold 1986 Forecasting Economic

Time Series. Orlando: Academic Press. McCleary, R. and R.A. Hay, Jr. (1980). Applied Time Series

Analysis for the Social Sciences. Beverly Hills, Ca: Sage.