Timeline for Possible simultaneity issue in time series analysis
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
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| Oct 3, 2017 at 12:58 | comment | added | Andrea | $Sales_t$= $\alpha$ + $\beta_1$ $price_t$ + $\beta_2$ $mkt expenses_t$ + $\beta'$ $X'$ + $\epsilon_t$ where $X'$ is a vector of control variables don't change over time. On the other hand: $mkt expenses_t$=$\alpha$ + $Sales_{t-1}$ +$\beta'$ $Z'$ + $\epsilon_t$. I want to underline that this work is at a very preliminary stage..actually I'm only investigating what I can do with my dataset. | |
| Oct 3, 2017 at 12:35 | comment | added | Aksakal | Can you write down your equations? | |
| Oct 3, 2017 at 12:32 | comment | added | Andrea | Thank you both for your comments. @Aksakal, I know it seems unusual, but in my specific case Y is not autocorrelated (there would be a lot to write to justify this, but trust me). That's way I'm interested to know if in this specific case there is a simultaneity problem or not... | |
| Oct 3, 2017 at 12:15 | history | edited | Richard Hardy | CC BY-SA 3.0 |
added 2 characters in body
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| S Oct 3, 2017 at 11:58 | history | suggested | user77876 | CC BY-SA 3.0 |
English grammar and structure.
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| Oct 3, 2017 at 11:37 | comment | added | Aksakal | It's hard to consider Y not autocorrelated. Sales data is very persistent and almost always autocorrelated. You may wont to look at differences both in Y and X, and lag dY on dX. Do you have marketing expense budget variable? You could look at the diff between expense and its budget as another predictor | |
| Oct 3, 2017 at 11:23 | review | Suggested edits | |||
| S Oct 3, 2017 at 11:58 | |||||
| Oct 3, 2017 at 10:53 | comment | added | alexeymosco | I am not an expert in this particular task, but I found this to be an interesting reading: statisticshowto.com/instrumental-variable As for me I suggest measuring the obsrved correlation between X t and Y t-1 to be sure the effect is significant to even consider it in the design. | |
| Oct 3, 2017 at 10:30 | history | asked | Andrea | CC BY-SA 3.0 |