# Tagged Questions

21 views

### Correct time lag in regression

Let's say you have two time series. you know they are highly correlated with the right time lag. Is there a function that's used to calculate the correct time lag, or do you just have to run a bunch ...
29 views

### Compute the inverse of function [on hold]

I want to compute and plot the inverse of given function f. I have the following code in R : ...
54 views

### What does it mean to 'align data frequencies'?

If I have two variables that have different sampling frequencies, one of the first steps is to align the frequencies; could someone explain the intuition of this alignment without being too technical. ...
44 views

### Problem of simultaneity

I have a question about solving simultaneity in this following case: Environmental taxes have direct and indirect effect on the change of waste pollution (ΔI). This effect (ΔI) has an indirect ...
65 views

### Shanken (1992) correction for t-statistics

I have done a cross-sectional regression of time-series average returns on estimated Betas (over the same time horizon) to determine average premiums. So far so good. But I was told that the standard ...
98 views

### Linear/Non-linear Regression - SPSS

Hopefully somebody will be able to shed some light on my SPSS problems! I have been given 65 values. 57 of these data values are quarterly results and 8 are the holdback data to be used. I have to ...
14 views

### checking for autocorrelation with many observations and few time periods

How would I go about checking for autocorrelation if I had a few thousand observations for each time period and had about 15 different time periods? The data set I am working with has a lag variable ...
36 views

### Regression on time series and its segment series

I want to test whether segment series explains anything in additional to the full series. Let's say y and ts_full are time series with same length. And I divide ts_full to 3 non-overlapping sub time ...
55 views

### Best way to visualize predictions from a linear model

Let's say I'm doing some predictive analytics and am trying to predict US GDP per month using a two or three month lag. After every month, I generate new predictions and am able to compare my ...
40 views

### How can I find out how shifts in a country's fiscal policies affect its economic health?

I have the values of certain variables for 20 years for different countries... I am unable to understand how to use the values of a particular variable for 20 years. Could anyone suggest how I should ...
48 views

### Time series as cross-sectional data

I have time series, for example, gdp and unemployment(unemp), freq= 4. What if I interpret it as cross-sectional data and do cross-sectional analysis instead of time series? My task is to test how ...
47 views

### Interpreting a regression modeled on twice differenced data

I have built a OLS model with data that was twice differenced. As I understand (and maybe I'm wrong) the coefficients (betas) can be applied to the original undifferenced data to provide Y at that ...
32 views

### Help with panel-data in excel

I want to know if the initiation of a state Renewable Portfolio Standard affects the level of renewable energy output in that state. I don't have access to Stata right now, so I'm stuck using excel. ...
117 views

### Does zero correlation between 2 differenced series implies no cointegration between original series?

The question is related to this one. In this question @mpiktas gives an answer on why checking correlation is not enough but the answer doesn't seem completely correct to me for the following reason: ...
105 views

### What model should one use for this short time series?

Below I have quarterly total sales on the left (dependent variable), and a sample of the sales on the right. The two variables share a correlation of 98.7%. What model should I use to predict X? ...
114 views

### Non-stationary series keep close to each other but correlation between growth rates is ~0 - how is this possible?

I have 2 (monthly) time-series that look like this: Economical intuition suggests that they are positively related and I can see this on the plot but if I compute correlation between their ...
69 views

### Quantifying the relationship between two disparate time series

I have two time series that have a roughly similar trend, though both variables are noisy. This graph shows means and standard errors throughout a season of measurements. I'd like to be able to ...
50 views

### Regression analysis for more than one categorical variable in time series

I have a time series data for shipment with following variables: Year: 2008, 2009, 2010, 2011, 2012, 2013 Month: jan, feb, ..., dec Number of ordering days Shipment Volume I want to know the ...
101 views

157 views

### Market mix modeling question

Suppose I want to model the sales of Coke sold at WalMart for a particular state in the U.S. Suppose I only have access to a year's worth of weekly sales data for that particular store. I want to ...
51 views

### Improving on triple exponential smoothing H-W approach in R

I recently forecasted data using the H-W triple exp smoothing method which takes into account seasonality and trend. The data I used was weekly data which presented number of phone calls a restaurant ...
361 views

### Relation and difference between time series and regression?

What are relation and difference between time series and regression? For models and assumptions, is it correct that the regression models assume independence between the output variables for ...
34 views

### Accounting for volatility in time series forecast

On the topic of forecasting, given a time series does anybody have a method to build in volatility to the response value? I have built tests around the spread and skew of the input variables by ...
184 views

### Does it make sense to use a date variable in a regression?

I'm not used to using variables in the date format in R. I'm just wondering if it is possible to add a date variable as an explanatory variable in a linear regression model. If it's possible, how can ...
43 views

### Choosing distance function in kernel regression forecasting?

Is there a method to find the right distance function in non-parametric regression? I use some time series to learn forecasting. Series are nonlinear and non-gaussian. I can get the right dimension ...
151 views

### Call volume: time series regression model from 52 weeks a year and lagged predictors

I have been adamantly searching the web to learn how to successfully implement a dynamic regression time series in the forecast package for R. The time series data that I am using is weekly data ...