Tagged Questions

199 views

Is there a convenient form for this large covariance matrix?

Consider the following bivariate vector autoregression: $$X_t=\mu +X_{t-1}A+\varepsilon_t,\ \varepsilon_t \overset{iid}{\sim} MVN(0, V),\ X_t=(X_{1,t},X_{2,t})',$$ where the assumptions on the ...
10 views

Signal dimension in regression model

Estimating Unknown Sparsity in Compressed Sensing is a paper about sparse signal. I am just learning the concepts. In the first paragraph, it says that when the number of observation data samples $n$ ...
65 views

Standard techniques for forecasting revenue growth of a company?

I was curious what sort of time series models were the standard for doing this type of analysis. I have weekly sales data for the company - I could cook up my own time series model but would like to ...
44 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 ...
196 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 ...
38 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 ...
78 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 ...
119 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 ...
87 views

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 ...
84 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. ...
77 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.
69 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 ...
31 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 ...
305 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 ...
74 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. $$W_{it} = β X_{it} + λ_t + η_i + ε_{it}$$ ...
55 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 ...
8 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. ...
59 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
735 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 ...
974 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 ...
73 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 ...
137 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 ...
189 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 ...
333 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 ...
38 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 ...
71 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 ...
38 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 ...
20 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 ...
86 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 ...
75 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 ...
109 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 ...
68 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. ...
208 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: ...
211 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 ...