0
votes
0answers
2 views

is it possible a nonstationary time series, to produce a stationary ARMA model?

I Have a variable (time series) which is nonstationary. I found that from the graph which seems to have a stochastic trend and the correlogram has a typical nonstationary pattern. After that, I've ...
2
votes
4answers
142 views

Can a trend stationary series be modeled with ARIMA?

I have a question / confusion about stationary series required for modeling with ARIMA(X). I am thinking of this more in terms of inference (effect of an intervention), but would like to know if ...
0
votes
0answers
26 views

Time Series Econometrics: Cointegration methods for series with mixed degree of integration

I am performing a time series analysis on dataset ranging from 1974-2008. I have performed Augmented Dickey Fuller tests and Phillips Perron tests to check the stationarity/ order of integration of my ...
4
votes
1answer
59 views

How to test the ARIMA coefficients?

Which test is required to test whether coefficients estimated as part of ARIMA procedure is different from 0? And how does one compute this test? I am reading some procedures regarding the inversion ...
1
vote
0answers
67 views

Interpreting Augmented Dickey-Fuller in R

I know that this has been discussed before, but those discussions did not really answer my questions. I know how the ADF test works, but I am having trouble interpreting the output for the three ...
1
vote
1answer
60 views

time series — seasonal adjustment

I'm concerned to seasonal adjustment procedure and want to know the criteria for this purpose can anyone please give me the answer of the following question. what should be the criteria for seasonal ...
1
vote
0answers
51 views

Interpreting results of an Augmented Dickey-Fuller test

I am running the 3 models of the ADF (Augmented Dickey Fuller) test on a (ln total fertility rate) variable. The results: Intercept only: (lag difference = 0) at level; p-value for Z(t) = 0.9672. ...
2
votes
1answer
75 views

The relationship between trading profitibility and forecasting accuracy

is forecasting accuracy and trading profitability related? How to explain the existence of the relationship? Thank you.
2
votes
0answers
58 views

Understanding vec2var conversion in R

I'm using Bernhard Pfaff's packages {urca} and {vars} to analyze 3 time series. Each is I(1) and cointegrated with $r =2$ cointegrating relationships. The vec2var() command should make the ...
0
votes
1answer
28 views

Impact of lagged values on identity variable

Let's say I'm working with the following simplified macroeconomic accounting identity Y_t = C_t + I_t + G_t, meaning that GNP in time ...
7
votes
2answers
278 views

Causality in microeconometrics versus granger causality in time-series econometrics

I understand the causality as used in microeconomics (in particular IV or regression discontinuity design) and also the Granger causality as used in time-series econometrics. How do I relate one with ...
2
votes
1answer
70 views

My fixed effect model and methodology

I'm doing my master thesis on FDI effect on Chinese wage inequality. I am new to quantitative econometrics so I have no idea if my wage equation is correct. $$W_{it} = β X_{it} + λ_t + η_i + ε_{it}$$ ...
2
votes
1answer
51 views

What does “AR(p) filtered series” mean?

I guess this means that omitting some variables in a certain interval, say, $(x_1, x_2, x_3, x_4, x_5) \to (x_1, x_5)$ in AR(4) model. Is it right? Or does this means eliminating autocorrelations ...
0
votes
0answers
6 views

What I have to undergo testing before proceeding to time series analysis? and after?

I have to conduct a time series regression analysis. Before proceeding I tested for stationarity and I verified that the variables are distributed according to the normal probability distribution. ...
0
votes
1answer
55 views

Which arma model is best one?

I am studying ARMA models. ARMA(25,25) or ARMA(1,1) which one better model? Why? I think that the reason is the ommission of irrelevant variable
1
vote
1answer
535 views

Fitting ARMA model with MATLAB R2012b

I want to fit an ARMA model on a time series (quarterly log returns of a 10 year bond) using MATLAB R2012b. This is part of an exercise. I have problems with the code and the interpretation of a ...
1
vote
1answer
531 views

Cross-correlation in Matlab

What is the difference between: 1) xcov(x,y,10,'unbiased')/sqrt(xcov(x,x,0,'unbiased')*xcov(y,y,0,'unbiased')); 2) xcorr(x,y,10,'unbiased'); 3) [A, B] = crosscorr(x,y,10); ? I think (but I am not ...
1
vote
0answers
58 views

Best data series to teach time series econometrics?

I will be teaching a short course on time-series econometrics to third-year undergraduates. It will be part theoretical, part applied (students using econometrics software). I am looking for great ...
1
vote
2answers
123 views

How to determine the correlation between 2 time series while controlling for a 3rd?

I would like to determine the relationship between two variables after controlling for a third. Specifically, I want to know if the prices of mercury and gold over time are correlated with each other ...
2
votes
1answer
155 views

Pros and Cons: Methods for Detrending Time Series Data

My memory is fuzzy on the advantages and disadvantages of various methods for detrending time-series data. I'm looking for a succinct summary of why and when one should or should not use the ...
2
votes
1answer
209 views

Significance of an impulse response function

I've read several paper that all compare different cumulative IRF of the same VAR equation for statistically significant difference. The IRF they use are simply the sum of the coefficients of the VMA ...
0
votes
0answers
37 views

Is there a formula to find the MAPE for $Y_t$ if we know the MAPE for $\Delta$log($Y_t)$?

Is there a simple formula to find the MAPE for $Y_t$ if we know the MAPE for $\Delta$log($Y_t)$ ~ iid N($\mu$,$\sigma^2$)? Is there an algebraic relation between the two? What if I use RMSFE ...
2
votes
1answer
64 views

Why is the expection of $E(Y_{T+1}|\Omega_T)$ greater than or equal to its previous value?

Consider the following model for $Y_t$: $\Delta$log($Y_{T+1})$ = $u_T$ where $u_T$ ~ IID Normal(0,$\sigma^2$). I want to forecast $Y_{T+1}$. Taking exponentials and then expectations, we see that ...
0
votes
0answers
37 views

Finding a leading indicator of a time series

I am interested in finding a leading indicator of $Y_t$. Is it sufficient to find a variable $X$ for which its lagged value is correlated with $Y$? Do I have to give consideration to the spurious ...
0
votes
0answers
18 views

Correlated historical time-series with missing data

I am trying to propose a method of determining whether health quality changed between 1700-1820 (roughly) in the United States. Some available data/time-series include: mortality rates, height, life ...
2
votes
1answer
84 views

Can this be modelled?

Context: USA economy Background: Its generally accepted that the growth of e commerce has certain curbing effects on the CPI-inflation. Because search costs are much lower online, people always go ...
2
votes
0answers
67 views

Estimating a VAR model with variable coefficients

I want to estimate a VAR model based on the Dufour and Engle paper "Time and the Price Impact of a Trade" (2000). There, the parameter $ b_{i} $ of the endogenous variable $ x_{i} $ is dependent on ...
1
vote
1answer
93 views

Diagnostic for VAR model. non normal

I have some problem about my model. my model is based on VAR. (vector auto-.) well, I've tested ARCH test, BG test(autocorrelation p) and jarque.bera.test. Model is stable. Also I got good result for ...
0
votes
0answers
67 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. ...
6
votes
3answers
187 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
196 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 ...
1
vote
5answers
178 views

Can you develop an econometrics model for stress test purpose only focusing on 2008-2009 data?

I have become aware that a group at a large corporation is developing an econometrics model to forecast sales of their product. They are using this model solely to estimate sales in specified stress ...
5
votes
1answer
128 views

Spurious correlation

I've read that if two time series, $Y_t$ and $X_t$, are trend stationary, then regressing $Y_t$ on $X_t$ results in a spurious regression because of an omitted time trend variable. Let $Y_t = \delta_0 ...
1
vote
1answer
96 views

$R^2$ from a regression of two trend-stationary processes, $Y_t$ and $X_t$

In Estimation and Inference in Econometrics, by Davidson and MacKinnon, p.671, they claim that $R^2$ from a regression of $Y_t$ on $X_t$, where both time series are trend stationary, tends to 1 as $n$ ...
0
votes
1answer
182 views

Interpreting the coefficients of ARCH Lagrange Multiplier Test

I am new to econometrics and I am building my first econometric model. I ran the LM test on a univariate time series data of 12000 observations and got the following stats: ...
0
votes
0answers
145 views

Forecasting when the dependent and independent variables are differenced

Consider the following model for $Y_t$: $\Delta$log($Y_t)$ = $\beta_0$ + $\beta_1$$\Delta$$log(X_t)$ + $u_t$ where $u_t$ ~ IID Normal(0,$\sigma^2$). I want a forecast for $Y_{T+1}$. Thus, I need a ...
0
votes
1answer
145 views

Pooled OLS with time-variant regressors

Could someone please explain how a pooled OLS is set-up when the regressors are aggregate variables that are time-varying only (i.e. do not vary for the cross-section at each time t)? If the pooled ...
0
votes
0answers
108 views

Running time-series regressions on a dataset with large gaps: is it legitimate?

I would like to run a plain-vanilla time-series regression, to estimate the sensitivity of my dependent variable to a set of explanatory variables. However, instead of running the regression on the ...
2
votes
2answers
126 views

One time series tends toward the (linear) function of another time series, how to find that function?

I have two time series $p_t$, the daily market price of a particular kind of good $f_t$, the daily production of such good Now assume that there is a unique relationship that tells you the optimal ...
1
vote
1answer
100 views

Insignificant VAR coefficients

I am not quite familiar with vector autoregression (VAR). I am thinking of using VAR/IRF (impulse response functions) to illustrate the relations between some time series variables. However, most of ...
1
vote
1answer
145 views

Program Impulse Response Functions for VAR

I'm trying to program impulse response functions for a VAR model using Cholesky decomposition. The thing is I do not completely understand how I should do this when I read in the literature. Suppose I ...
1
vote
3answers
80 views

Adding up events in time series forecasting

Let us say that we have an event - variable (1/ 0) that denotes the occurence of an event on a daily basis e.g. a strike. Let us now say that we have a continuous variable (sales) that that we want to ...
1
vote
0answers
133 views

I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?

Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise. I have two times series: Amount invested into Iraq across time (in months) Price of a stock across ...
4
votes
1answer
2k views

Cannibalization of product sales

I am trying to determine the rate of cannibalization of product sales for A with product B. I am using ~ 2 years of daily sales data for product A and then ~8 months of data for product B. That is, ...
1
vote
1answer
161 views

What's a stationary VAR?

What is a stationary VAR (vector autoregression)? Can a VAR with non-stationary variables be stationary? How do you test whether a VAR is stationary or non-stationary? (Example in ...
1
vote
2answers
275 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, ...
2
votes
0answers
102 views

How to test for integrated order 2/non-stationary I(2)?

How do I apply the Augmented Dickey-Fuller (or alternative) test to determine if a variable is $I(2)$ instead of $I(1)$? Is there functionality for this in R ...
1
vote
2answers
213 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 ...
4
votes
1answer
329 views

Multicollinearity in OLS

I am reading Greene's textbook Econometric Analysis where he says that, if there's multicollinearity, then: Small changes in data lead to large swings in parameter estimates. Coefficients have high ...
1
vote
2answers
283 views

Dummy interaction variables are always non-stationary?

I want to know why we can include dummy interaction terms into time series models if they're always non-stationary? For example let $X_t$ be $I(0)$, $X_t \sim N(\mu,\sigma^2)$ and $D_t \in \{0,1\}$. ...