0
votes
0answers
24 views

Modelling a time series with the “optimal” combination of N proxy series

I have a time series T. I also a universe U of time series such that A, B, C ... Q are time series that belong to the universe U. My problem decomposes into the following sub tasks: Find a subset ...
1
vote
2answers
108 views

About the stationarity of a sine wave

I generated two sine wave time series and want to check the stationarity of them. (1) The first time series is short. kpss.test() thinks it is stationary. ...
2
votes
4answers
2k views

Why use vector error correction model?

I am confused about the Vector Error Correction Model (VECM). Technical background: VECM offers a possibility to apply Vector Autoregressive Model (VAR) to integrated multivariate time series. In the ...
6
votes
3answers
154 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: ...
0
votes
2answers
177 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 ...
0
votes
0answers
77 views

Handling stationarity issues in proc ucm/state space time series models

Hope I'm able to find someone who can answer this question. The previous one didn't get answered! Proc ucm is the SAS implementation (using state space concepts) to isolate the unobserved trend, ...
1
vote
1answer
159 views

Johansen test loading matrix

I'm using the URCA package in R to test for cointegration by Johansen's method. Can anyone tell me what the weights (loading ...
2
votes
1answer
421 views

Relationship between cointegration and causality in a VAR/VECM model

I am asking myself how cointegration and causality are related in a VAR/VECM model. Suppose you have two $I(1)$ variables in your 2 dim VAR process which are cointegrated, so there is one ...
1
vote
1answer
134 views

How to tell if the relationship between time series variables changes over time?

Lets start out by saying that I'm a novice with statistics. I'm looking to analyze the relationship between Return on Sales (ROS) and Asset Turnover (TAT) over time to see how they impact firm ...
3
votes
0answers
115 views

Cointegration structure

I have two time series that I am investigating, acc and amb, the time frequency is daily data. They are both non stationary, as evidenced by the follows: ...
1
vote
1answer
401 views

Constructing a VECM with a mix of I(0) and I(1) variables

I've been using the Johansen Procedure to check and correct for cointegration in my model, by estimating a VECM instead of VAR. But now I want to estimate a new model, in which I expect the same ...
0
votes
1answer
192 views

Error correction model (to test for asymmetry) with stationary I(0) variables

I have price series which are all stationary without taking any difference --> I(0). Can I still perform an ECM model to test for asymmetry? For example: Y= constant X; taking the residuals and ...
1
vote
2answers
243 views

Johansen's $\Pi$ is full rank except variables are non-stationary

I have two variables. They're both $I(1)$ even when I fit constant and trend terms into the ADF test. The $p$-values for the stationarity tests are around 0.5 so it's not a marginal case. However, ...
1
vote
0answers
175 views

Difference between unrestricted VECM and restricted VECM?

What's the difference between an unrestricted and a restricted VECM? I believe a hint lies within the cajorls()[1] function of R language's ...
1
vote
2answers
184 views

Putting stationary variables through Johansen procedure

Is it okay to feed $I(0)$ variables into the Johansen procedure? I've read three sources that seem to state that this is not what you're supposed to do. However, whenever I've done this, I notice that ...
1
vote
1answer
404 views

Vector error correction model

I am working on finding the relationship between equity, gold, crude oil, and currency value. I used the Johanson cointegration test. Trace test indicates 4 cointegrating equations at the 0.05 level. ...
1
vote
1answer
607 views

Cointegration testing with a dummy variable

I have the model: $y_t = \alpha + \beta_1 x_t + \beta_2 D_t x_t + \epsilon_t$ With $y_t$ and $x_t$ as $I(1)$ processes, and $D_t =1$ during a large financial crisis, $D_t = 0$ during non-crisis ...
0
votes
0answers
153 views

Cointegration regression - how to solve sensitivity to ordering of variables

I have a few variables, $A$, $B$, $C$, $D$, and $E$. To find their cointegration coefficients, $A$ is regressed against $B$, $C$, $D$, and $E$. $$ A = W_b * B + W_c * C + W_d * D + W_e * E + W0 $$ ...
0
votes
1answer
210 views

Testing threshold cointegration in vector error-correction models

In Hansen and Seo's paper on Testing two regime threshold cointegration in VECM (J. Econometrics, 2002; 110:293), the authors proposed a test based on Lagrange Multiplier for testing treshold in ...
2
votes
0answers
166 views

Computing (lagged) correlations (or similar) between multiple time-series from a VECM or its levels-VARM

Ok, after trying to find a way to get all lagged and non-lagged - correlations from multiple time-series (behavioral series with length around 180) I've confined myself to the following: I have ...
4
votes
3answers
505 views

What does that mean that two time series are colinear?

I am familiar with the concept of cointegration. But I hear sometimes people talking about colinearity (or collinearity) for time series. A set of points is collinear if they are on the same line. ...
2
votes
2answers
273 views

How to check if a time series is I(1) in R?

I'm testing the cointegration of two time series of stock prices using adfTest from fUnitRoots, but first I need to check if the series are I(1). How can I check if a time series is I(1)?
5
votes
3answers
4k views

What is the correct procedure to choose the lag when performing Johansen cointegration test?

When preforming Johansen Cointegration test for 2 time series (the simple case) you need to decide the lag you want to use. Doing the test for different lags return different results: for some lag ...
1
vote
0answers
233 views

Fractional integration and cointegration with R

I am currently reading about fractional integration in the context of error correction models. Does anyone know of a package in r that has a function for Sowells maximum likelihood estimator of d?
3
votes
1answer
270 views

Are two identical time series cointegrated?

I wonder if two identical time series are cointegrated. Can anyone shed some light on this? Thanks
2
votes
1answer
109 views

Interpretation of an integrable time series of an order zero

REF: http://en.wikipedia.org/wiki/Order_of_integration What is the interpretation/intuition behind a time series integrable of order 0? I am reading something on cointegration and this is not yet ...
1
vote
1answer
211 views

Testing two I(1) vectors for a relationship

Suppose I have two I(1) time series X and Y, and I want to know whether X and Y are "related" (for some definition of "related"). The standard cointegration approach defines relationship as ...
1
vote
1answer
766 views

Lagged Exogenous Variables in VECM with R

Looking to estimate a VARX(p,q) type VECM in R if possible. I'd like to estimate a VECM with p lags (lags relative to the level, not diff of the vars) on the ...
6
votes
2answers
435 views

Resources for learning about spurious time series regression

"Spurious regression" (in the context of time series) and associated terms like unit root tests are something I've heard a lot about, but never understood. Why/when, intuitively, does it occur? (I ...
24
votes
5answers
7k views

Time series 'clustering' in R

I have a set of time series data. Each series covers the same period, although the actual dates in each time series may not all 'line up' exactly. That is to say, if the Time series were to be read ...
13
votes
2answers
483 views

Does a cointegration model exist for irregularly spaced time series?

It isn't clear to me how to calculate cointegration with irregular time series (ideally using the Johansen test with VECM). My initial thought would be to regularize the series and interpolate ...