Tagged Questions

1
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0answers
166 views

An alternative to “Granger Causality” test when (short) time series are not stationary?

I have two short time series (x and y), and I wish to find out if x "effects" (is correlated with) y. Obviously, since the two are time series, using a simple correlation is the wrong way to go. I ...
1
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1answer
238 views

Formula for one-sided Hodrick-Prescott filter

I am not very familiar with filters. The Hodrick-Prescott filter as one can find it e.g. in wikipedia is two-sided. I also found an R implementation for this in the R package mFilter. There the filter ...
1
vote
1answer
53 views

Causal stats with one event and multiple time series?

I've worked with certain causal/predictive techniques when handling two time series, but this problem is different from what I am used to and I'm not sure how to proceed. I would like to see the ...
3
votes
2answers
107 views

What test should I use to determine if a policy change had a statistically significant impact on website registrations?

A client's website was operating under a certain policy for membership sign ups for over a year. At the start of October 2012 the client implemented a new policy for sign ups that was supposed to ...
2
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0answers
202 views

Implication / Interpretation of long term equilibrium VECM

I want to test the influence of exchange rates on a price index and struggle with the interpretations. My variables are I(1) First, I ran an OLS on first differenced variables which indicated a ...
3
votes
3answers
278 views

Identifying the time lag between cause and effect

What approaches exist to observe the time lag between two variables? I need to analyze the relationship between blood pressure and some other factor, such as exercise. The data set I am drawing from ...
3
votes
1answer
2k views

Interpreting Granger causality test's results

I'm trying to educate myself on Granger Causality. I've read the posts on this site and several good articles online. I also came across a very helpful tool, the Bivariate Granger Causality - Free ...
1
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1answer
61 views

Time series with same variables but different respondents

I would like to measure the impact of an intervention using a form of time series or some related technique (like segmented regression). I would like to use the Schools and Staffing Survey, which ...