# Questions tagged [time-series]

Time series are data observed over time (either in continuous time or at discrete time periods).

13,444 questions
Filter by
Sorted by
Tagged with
4 views

18 views

### How to specify a VAR model in R with non-stationary, stationary, and trend-stationary variables?

I have a multivariate time series and I want to estimate a VAR model. I tested for unit roots with the ADF and KPSS test and concluded that some variables are non-stationary, while others are ...
• 11
13 views

### Can anyone provide me with reference to some lecture notes or an online lecture on Multiplicative Error Models?

As the title says, I am looking for some lecture notes or an online class going over Multiplicative Error Models. I have found a number of academic papers on the topic, but I am having trouble ...
32 views

### Border values at which timeseries decrease and increase

I have a timeseries data of signals in stock market ([-1, 1]) and I want to find mean values at which I have down trend and upwards trend. I already used Moving ...
39 views

### Testing the impact of a events on time series

Context I'm working with product data for a retail company. I have the daily impressions (number of times it was viewed online) for all products over a 30 day period (can get more data). Here is the ...
14 views

### Is this data time series or panel

I am working with a dataset of an online institution that is registered in one country, but has customers from across the world. I am working with a sample period of 5 months in 2022. I am unable to ...
• 11
1 vote
21 views

### covariance matrix of any ARMA(p,q)

Assume I have an ARMA(p,q) weakly stationary process with the error term $\epsilon_{w}$ such that $\epsilon \sim WN(0,\sigma^2_w)$, can either be gaussian or non-gaussian. The covariance matrix,$M$ is ...
• 411
17 views

### Lagged regression with more than one predictor time-series

I have n + 1 different discrete time series. One of them is {Yt}, which I call ‘response time series’, and the other n are {Xt,i} (i = 1,…,n) which I call predictor series. I define n time lag ...
• 1
15 views

### Incorporate partial information about Y into predictions

I have a linear regression model predicting exports of toys from the United States on an annual basis. This initial model is based on a few factors: toy companies' demand projections, toy production ...
• 11
1 vote
33 views

### Resampling a timeseries

I have a list of stock returns (say computed from the historical data) and would like to resample the historical return distribution. Naively doing bootstrapping means the samples are iid. I'm ...
• 594
16 views

### Shifting timeseries

See my timeseries below: Is there an easy way to detect if my timeseries keeps shifting between two y-values. In the figure this is for around -100 and -600. This especially occurs after the year ...
1 vote
33 views

### Minimizing an objective function with input variables from a correlated error term

I've been reading into how to minimize objective functions and I am curious about the following, I have a model $y=X \beta +\epsilon$ where $E[\epsilon|X]=0$ and $Var[\epsilon|X]=\Sigma$ where $\Sigma$...
• 411
1 vote
25 views

### Update to Box and Jenkins Air Passenger data? [closed]

A textbook example of a time series is the Box and Jenkins Air Passenger data. In R you can get it with the command data(AirPassengers). It has the number of ...
• 257
1 vote
29 views

• 267
4 views

### Computing average'' PAC with panel data

How can a single partial autocorrelation function be computed when the dataset has a panel structure? Assuming that every ID follows the same data-generating process. One idea is to use only linear ...
• 103