Questions tagged [unobserved-components-model]

UCM decomposes an observed time series into unobserved trend, seasonal, cyclical, and idiosyncratic components and allows for exogenous variables

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When will a non-lagged regression term, in a forecasting algorithm, outperform an algorithm that doesn't require the regression term?

I am struggling to understand when a regression variable that is non-lagged would be beneficial to a forecasting algorithm. I have been investigating the unobserved component model algorithm. I am ...
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30 views

Understanding the Chi Squared test for Significance Analysis of Unobserved Components in SAS' Proc UCM

Proc UCM in SAS does a Chi Squared test to test the significance of the components found by fitting a UCM model. I want to understand what exactly this test is and how to interpret it. As in, what is ...
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How do period effects work in panel regression?

I am having trouble understanding the use of dummy variables to control for period effects in a panel regression model. Say I have a fairly standard panel model with period and individual effects \...
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37 views

What ARIMA and UCM model would you recommend for this monthly time series?

I have 4 years of historical data which is monthly and has a strong seasonality. I've been struggling to figure out what are the correct model specifications for both ARIMA and UCM. I also cannot ...
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66 views

Parameter dimensionality reduction in a Kalman filter framework

My problem is related to parameter identification with maximum likelihood in a Kalman filter. This framework consists of a multivariate set-up, wherein the unobserved components of the initial ...
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1answer
219 views

Exporting the UCM Model Prediction in CSV [closed]

My problem is extremely simple. But due to lack of proper documentation, I'm getting stuck. I'm using UCM from statsmodel of python. I'm trying this example. I want to create a dataset that has ...
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1answer
82 views

How to convert/decompose SARMA model to Unobserved Component Model (UCM) to extract seasonal component?

Often in my work I need to remove seasonality from a time series to see underlying trends/cycles. Usually the seasonality is removed using UCM, estimated by some method. However, we often also fit ...
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75 views

Is Box-Jenkins approach to time-series prediction and forecasting similar to Unobserved Components models approach?

How I understand the Box-Jenkins Method in a nut-shell is that a time-series model has signals that can be identified by weighting its own past lagged values, or weighting its owned past errors or ...
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95 views

After making an adjustment to the forecast, should I also adjust the prediction interval (& how)?

I want this to be a general question as it may help others in the future but I will give the specifics of what I'm doing. I am producing forecasts for many time series with different models. It is ...
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788 views

How does Unobserved Components Model work ? What exactly does it do after decomposing the time series in components?

I was working on Unobserved Components Model in R but found that the content in the help section of R is not very elaborate.Maybe it's not completely updated yet. The Nile dataset example online also ...
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Daily data forecast: How to specify day of week and month of the year seasonality in SAS [closed]

I have daily data for 2 years starting from jan1 2014 till december 31 2015. I want to forecast for next 365 days using this data set. I am using below code. ...
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1answer
180 views

Time Series Data Unobserved Components Model

I am using the Unobserved Components Model to decompose metal price data in Stata. i am using a model with three terms trend, cycle and irregular. I specif the model below: ucm copper, model(strend) ...
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191 views

Proc UCM Forecast Series

I'm forecasting a data series with one time dependent variable (GDP) and one 0 1 time indicator "Flag" (0 starting at February 2014, 1 before that). When I use ...
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225 views

Estimate UCM Equation from Ucm model?

Given the output of a ucm sas procedure i need to estimate the equations from the given output , but i don't really know how to do it or where to start. Do you have any hints or anything that might ...
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1answer
1k views

Time Series Unobserved Components Model

I have real price data for 55 years and want to study its trends. for this i am trying to estimate the Unobserved Components (UC) Model. Which software will be better eviews or stata? Also what are ...
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Time Series Decomposition - autocorrelation of error term

I would like to do time series decomposition, but the error term has a serial autocorrelation at the end and I am freaking out because I have really no idea what to do with that. How I did it? I ...
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3answers
11k views

Performance evaluation of auto.arima in R and UCM on one dataset

I started evaluating and comparing some methods in forecasting. I used Price of dozen eggs in US, 1900–1993, in constant dollars in the R software FMA package. I held out the last 10 years for ...
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112 views

Sensible Transformations of Economic Indices like CFNAI and ADSBCI in Time Series Analysis

I am trying to fit an unobserved components model for revenue and transactions for a firm where I also use some exogenous variables that capture economic conditions. The UCM decomposes a time series ...
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951 views

Predicting a time-series based on level, season, and cycle

I have time-series data for stock price. A sample of dataset is given below: ...
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4answers
1k views

High-Frequency Time-Series Forecast With A Lower Bound

I am helping a friend with a data project. He's interested in building a canary-in-the-coal-mine alert system for his website which tells him when the number of users dips below some critical lower ...