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Results tagged with time-series
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user 128939
Time series are data observed over time (either in continuous time or at discrete time periods).
2
votes
Accepted
Levels or First Differences, VECM or VAR for Ultimate Impulse Response Functions?
I assume you use ADF test for stationarity check and that k is the number of lags (in my example, $p$ is the number of lags).
A VECM model $$\Delta Q_t = \Gamma_0 + \Gamma_1Q_{t-1} + \sum_{i=1}^p\Lam …
- 847
1
vote
Accepted
Stationary Time Series (Conditional moments)
I think you can think about it as long term versus short term values with the unconditional mean being the long term value and the conditional mean being the short term value. for AR(1) process $$ y_t …
- 847