Questions tagged [autoregressive]
The autoregressive tag has no usage guidance.
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What sanity checks to apply to reduced-form VAR model
When you build a vector autoregressive (VAR) model with macroeconomic variables, what sanity checks do you apply before identification?
How do you ensure that the estimation/coefficients are ...
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OLS estimation of AR and BLUE
Is it valid to apply OLS to the AR process?I learn that there exist correlation between explanatory variables and error term in AR model. I'm wondering how can show that $E(u_t|1,y_1,y_2,...,y_{t-1})\...
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What are different ways to determine how an explanatory variable affect a target variable?
I'm trying to determine a quantitative value by which a target variable change (inflation) by changing an indicator variable (interest rate).
The industry basically uses linear models such as VAR. Are ...
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Why don't Time Series books talk about exogeneity like in classical linear regression models?
Consider the following linear regression:
$$y_t = \beta_0 + \beta_1 x_{t} + u_t$$
Typically, we need to assume (assuming a random sample):
\begin{equation}\label{I}\tag{I}
E[u_t]=0, \quad cov(u_t ,x_t)...
- 121
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What type of data we use to predict volatility of an asset with GARCH or ARCH models?
When we are trying to feed time-series data to a GARCH or ARCH model, what kind of data should we give the model?
A: Absolute difference between daily prices over-time
B: % of the difference between ...
- 23
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222
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Need Clarification of Terms: Innovation v.s. Disturbance
I have been reading some econometrics paper and came across terms "innovation" and "disturbance" of regression models. Can someone please explain to me what they are? I have ...
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295
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Durbin Watson Test for an AR(1) process
$(1) y_t =\beta y_{t-1} +\epsilon_t$
$(2) \epsilon_t =\rho \epsilon_{t-1} +v_t$
Where $v_t$ is i.i.d white noise. I know that OLS estimates of (1) are biased. It would then follow that estimates of $...
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AR(q) Strongly Stationary
Consider an AR(q) process, $u_t$. If the roots of a characteristic polynomial are outside of the unit circle, the AR(q) process is weakly stationary.
I've seen this proof that proceeds by showing the ...
- 3,458
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194
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Modelling GDP growth rates with an AR(1) process
I am trying to model the growth rates of real output per worker. I read that GDP growth rates are often assumed to be stationary and are modelled using an AR(1) process, so I took logs and then took ...
- 11
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Arch Model and $\sigma$
In my problem set about ARCH models I'm given that
$\epsilon^2_{t}=\alpha\epsilon^2_{t-1}+v_{t}$
But then I'm asked to calculate
$E(\sigma^2_{t+n}|I_{t-1})$.
So is the same to calculate $E(\epsilon^2_{...
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Autocorrelation test for AR(p) (Breusch-Godfrey LM test)
I have a question regarding the test for the error term.
As you know, in AR(p) model
The error term must be i.i.d., so after the regression I want to see if there is no serial correlation in the ...
- 23
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Correcting high AR(1) coefficients in dynamic Gordon model
I have just finished my thesis on a heterogeneous dividend expectations model applied to the COVID-19 crisis. However after receiving some feedback there is one last issue I want to resolve. I'm using ...
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Weakly Dependent Time Series | Common Error
I am watching a video, that mentions for the following time series:
$x_t=\epsilon_t+\theta\epsilon_{t-1}$
$\textrm{Corr}(x_t,x_{t-1})≠0$
Then it mentions if we have anything greater then 1 such as $...
- 101
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439
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Johansen test explanation
I am trying to understand the whole Johansen procedure via wikipedia and some other articles and I'm a noob in econometrics so there is a lot of notation and jargon that I think I am not familiar with....
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How to change the observation for the first lag in an AR(1) model?
I run a simple AR(1) model in my analysis using ols:
ar.ols(df$y, order.max = 1))
However, I work with generations as my unit of analysis. Therefore, the first ...
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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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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 ...
- 11
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75
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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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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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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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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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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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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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92
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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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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? ...
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