Questions tagged [autoregressive]

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Is it allowed to reduce a dataset of moving averages to run an AR(1) model properly?

I run a simple AR(1) and AR(2) model with the following code: ar.ols(df$y, order.max = 1) ar.ols(df$y, order.max =2) My dataset is as follows: I do have yearly ...
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1answer
41 views

How to change the observation for the first lag in an AR(1) model?

I run a simple AR(1) model in my analysis using ols: ar.ols(df$y, order.max = 1)) However, I work with generations as my unit of analysis. Therefore, the first ...
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26 views

Is there an easy way to create academic looking tables in LaTeX from R econometric tests and models

I have tried using the obvious choice - the Stargazer package in R. But, as far as I know, Stargazer does not support packages like 'vars' (for VAR and VECM models, the Johansen procedure, etc...) and ...
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1answer
29 views

How do I apply the distance-weighting matrix in a spatial autoregressive model

Can someone explain how to solve the following problem in a spatial auoregressive model. The form is: where p is the SAR coefficient and W is a distance-weighting matrix with a 0-diagonal. The ...
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1answer
64 views

Aggregate production function, factor shares and cointegration

When estimating an aggregate production function you fit your data to a selected functional form of the production function, derive the parameters and inference from there. My question is, is there ...
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1answer
31 views

How to calculate inflation rate in order to perfom VAR model?

For an assignment I need to perform a VAR model on the three variables real GDP, short term interest rate and inflation. While for the first two variables I have not any problem, I am struggling to ...
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1answer
3k views

Conditional variance vs. unconditional variance in ARCH model

I am in the process of working through some problem sets. I have studied some time series, but my knowledge of ARCH models is pretty basic. I am given the following information: $Y_t = a_0 + a_1 Y_{t-...
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1answer
258 views

Replicate Romer and Romer (2004) results

I am trying to replicate figure 2 from Romer and Romer's (2004) paper on monetary shocks (http://eml.berkeley.edu/~dromer/papers/AER_September04.pdf). Essentially, having generated a series for ...
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2answers
141 views

What is the reason why ARIMA(0,1,0) on $y_t$ and ARIMA(0,0,0) on diff($y_t$) are not identical time-series models?

I studied at BA level, that ARIMA(0,1,0) on $y_t$ and ARIMA(0,0,0) on diff($y_t$) are the same models. I am doing the Box–Jenkins model estimation on the historic data of US unemployment rate. My ...
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2answers
236 views

How do I choose the correct model for a regression?

So the central question of my project is to what extent does a country's level of export contibution towards GDP (i.e. exports as a % of total GDP) affect its GDP growth. I'm comparing this ...
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0answers
45 views

How can I construct a process for cumulative returns that is riskless?

This question is a little more specific than the title. Here I use the same notation that is set forth in this other question about cumulative returns (the sum of return observations). That is, let $...
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2answers
860 views

Formula for the unconditional variance of the sum of observations from an autoregressive time series

I have notes that say that we can make the following calculations. I'm a little confused about some of the calculations that are being made. What assumptions would I need to get the following results? ...