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Geek_Tech
  • Member for 2 years, 6 months
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2 votes
0 answers
177 views

Is HEGY or CH test better in a small sample (40 monthly observations)?

1 vote
1 answer
202 views

How is factor analysis used on time series data?

1 vote
1 answer
62 views

Seasonal differencing a when the sample size is small when estimating a VAR

1 vote
0 answers
174 views

Difference between Dynamic Factor Model and Factor Augmented VAR?

1 vote
1 answer
358 views

Is correlation matrix of residuals , a method to check for autocorrelation of residuals in the model?

1 vote
0 answers
49 views

How to get the coefficients of determination (R Squared) from factor loadings in FAVAR?

1 vote
2 answers
826 views

What are the assumptions of MLE and how to test them using residuals?

1 vote
1 answer
2k views

Difference between residuals and idiosyncratic errors?

1 vote
0 answers
24 views

SARIMA forecast of economic variables with shocks of COVID-19 [duplicate]

1 vote
0 answers
345 views

Differences between Static Factors, Dynamic factors and Exploratory factor analysis in Time Series

0 votes
1 answer
130 views

PC-Vector Autoregression (PC-VAR)

0 votes
1 answer
116 views

Residual diagnostics in Dynamic Factor Models (DFM)

0 votes
1 answer
824 views

Principal Component Analysis to Time Series Data (PCA)

0 votes
0 answers
94 views

Should I scale my data before time series PCA?

0 votes
1 answer
441 views

Detecting autocorrelation of residuals using ACF and PACF plots

0 votes
1 answer
211 views

Vector Autoregressive model with series of different integration orders

0 votes
1 answer
445 views

How to estimate a Vector Autoregression model using ARCH estimation (VAR-GARCH)?

0 votes
1 answer
85 views

Why forecast accuracy is very high in Restricted VAR but not in individual OLS estimate?

0 votes
0 answers
27 views

Forecasting using PC-VAR

0 votes
1 answer
773 views

Residual Diagnostics in Vector Autoregression (VAR) model

0 votes
1 answer
333 views

How to detect an AR(1) process of residuals from a correlogram?

0 votes
1 answer
126 views

How to check assumptions of an AR(1) process

0 votes
1 answer
124 views

Analyzing relationships in 5 time series (cointegration)

0 votes
0 answers
85 views

How to check whether Yt is covariance stationary when A and B are random variables but not constants?