Questions tagged [time-series]
statistical techniques for application to data whose observations concern an entity or phenomenon at different points in time.
2
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0answers
28 views
Difference-in-differences with long time horizon and repeated treatments
I have a high-frequency panel dataset on the order of $i=150$ and $t=5000$. I am interested in studying the causal impact of a treatment with the following characteristics:
The same unit can be ...
1
vote
1answer
15 views
How can I re-base monthly financial time series
I have a monthly time series with 2015=100. I want it to be in 2010=100. How could I do so?
It is from 195901 to 201407.
0
votes
1answer
24 views
Fixed Effects Estimation and Inconsistency
Consider estimation of the following population regression function:
$G{Y_{it}} = {\beta _0} + {\beta _1}IN{F_{it}} + {\beta _2}DE{M_i} + {\beta _3}POI{L_t} + {\varepsilon _{it}}$
Where:
$GY_{it}$ = ...
1
vote
0answers
11 views
To the following data, what kind of econometric analysis can be conducted/ or what type of relationship can be established? [closed]
I have data for sale in petroleum products across different states in India of both public sector and private sector companies for past 10 years.
No. of years - 2008 to 2018 monthly data for 10 years
...
1
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1answer
29 views
2 versions of the koyck distributed lag
In econometrics, ( this material is in a lot of the literature but, IMHO, can most clearly be found in Harvey's text, "econometric analysis of time series"), there are generally two versions of a ...
3
votes
2answers
61 views
Examples of Covariance Stationary Time Series
I seem to be having trouble in comprehending what it means for a time series to be covariance stationary. Specifically, with the third condition that for any $t,h$ the $cov(x_t,x_{t+h})$ only depends ...
0
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1answer
46 views
What is an unconditional model for a time series variable?
If I am being asked to do an unconditional analysis of a time series variable, lets say GDP starting in 2000, what model am I supposed to estimate?
0
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0answers
26 views
AR(p) with white noise error term — always covariance stationary?
Is it always true that an AR(p) process with a white noise error will be covariance stationary?
3
votes
1answer
97 views
Show that the dividend price ratio is a ARMA(p, q) process
Let the log dividend growth evolve according to $\Delta d_{t+1} = \epsilon_{d, t+1}$ where $\epsilon_{d, t+1}$ is just white noise. Let the log returns be $r_{t+1} = x_t + y_t + \epsilon_{r, t+1}$ ...
1
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0answers
17 views
Can the CPIH be used to find the real terms rise in price of a component of the basket of goods?
I want to calculate the real terms rise in UK private rent prices since 2011 using the CPIH measure. The indexes of nominal rent prices and the CPIH rose by 14.7% and 13.5% respectively, so I can say ...
1
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0answers
15 views
Empirical implementation of Milbourne et al's 2003 model of growth for time series data
I'm interested in testing the relationship of public investment in human capital and infrastructure, and the rate of growth of the GDP for Colombia, during a 20 years period. Given that I'm only an ...
0
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0answers
213 views
Is Gaussian distribution the proper choice for step in financial time series? E.g. DJIA ROI suggests Laplace instead
Data compression uses Laplace distribution ($\rho=\exp(-|x-\mu|/b)/2b$) for probability distribution of differences, while I see it seems economy uses Gaussian distribution everywhere (?), e.g. in ...
0
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1answer
40 views
backshift operator in time series confusion
Hi All: In time series econometrics, if one has a relationship say
$y_{t} = \frac{x_{t}}{1- \rho L} + \epsilon_{t} $ where L is the backshift operator, then the expression can be re-written as the ...
0
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0answers
10 views
Is there a theoretical foundation for using capital/labor ratio as one explicative variable in a growth equation?
I am writing a paper whose aim is to assess remittances effects on economic growth in the ECOWAS. I chose to use new cointegration techniques (PDOLS and FMOLS) as the econometric approach. In the ...
1
vote
0answers
25 views
Would it be appropriate to include state level variable with MSA model?
Greetings I am running a time series which will use vector error correction model. My dependent variable is economic base which is comprised of manufacturing, mining and construction sectors. I have a ...
0
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0answers
28 views
Suggestions on mathematics textbooks tailored for stochastic time series?
In a graduate-level economics course learning economic modeling with mathematics that I'm contemporaneously refining. The consequence of graduate schools dropping the whole notion of a prerequisite -- ...
1
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0answers
27 views
Indicator variables over unequal periods?
I'm comparing the volatility of capital flows using a panel data regression. I would like to examine changes in volatility over different periods (e.g. before financial crisis, financial crisis, ...
0
votes
1answer
78 views
rates vs. level
For my thesis I will run some regression (OLS and ML: Probit). I like to distingish between variables in growth rates and variables in level form, if there is any important issue that I have to ...
4
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0answers
28 views
Max Likelihood Estimators of a stable Gaussian VAR$(p)$ process. Are the Lutkepohl formulas correct?
In «New Introduction to Multiple Time Series», page 90, we have the following formulas for the ML estimators of a stable Gaussian VAR$(p)$ process:
where $\tilde \alpha = vec(\tilde A_1,...,\tilde ...
0
votes
2answers
83 views
How to estimate loss of customers due to customer support inefficiency?
I have a data about customers and their activity on a website for a two-year period. Also, I have a customer support work evaluation data for a shorter period of that two-year period. The question is:
...
6
votes
0answers
65 views
Replicating a state-space model
I am trying to replicate the results of Cochrane, 1998. Most of the paper is just describing the theory behind The Fiscal Theory of the Price Level. But from p. 42 he begins the econometrics aspect.
...
1
vote
1answer
74 views
DSGE Model Solutions as a Vector Time-Series process. Examples?
I'm trying to understand how the solutions of a DSGE model can be seen as VAR or VARMA.
Can you give examples of DSGE model solutions which can be seen as such? Also, does this only happen when we ...
3
votes
1answer
82 views
Regression - Testing for autocorrelation in the presence of heteroscedasticity
I have constructed a linear time series regression model and estimated the parameters by applying OLS. I now want to test wether the assumptions for proper large sample inference (asymptotic Gauß ...
0
votes
2answers
96 views
Structural VAR and Granger Causality
Is it possible to Structural VAR (vector autoregression) model to imply Granger Causality?
In other words, if X and Y are determined at the same time, is it possible that X Granger-causes Y?
Thanks!
1
vote
2answers
50 views
Relation $\Delta Unemployment$ and $\Delta GDPgrowth$
I have studied the development of the difference in unemployment and the difference in the growth of real GDP in the Netherlands over the years 1963-2016.
From the picture it seems like a change in ...
3
votes
3answers
64 views
Misspecified autoregressive models
I want to know the impact of misspecifying lag levels in AR models. Say the true model is AR(P), while in estimation AR(P-1) is estimated and used for forecast.
What will be the impact of estimating ...
2
votes
0answers
56 views
Conditional maximum likelihood of AR(1) UNIFORM PROCESS [closed]
Let $Z_t = \phi Z_{t-1} + u_t$ where $u_t \sim uniform[-1,1]$ and $|\phi|<1$ I
I am facing problems coming up with conditional maximum likelihood estimate of an AR(1) process with uniform errors. ...
0
votes
0answers
21 views
Is it okay to specifiy all the parameters of a model as time-varying, when I am not sure about one or two of them?
I am working on a model, wherein the variable of interest is time-varying and I am not sure if I should consider the rest of the parameters (coefficients on lag values) to be time-varying. In the base ...
0
votes
0answers
29 views
OLS coefficients change signs at some point in time
I am running an OLS in which the dependent variable is the sum of daily log returns on S&P 500 and as independent variables I use some variables which I believe "drive" the SPX returns.
My data ...
0
votes
0answers
19 views
How to study the relationship (correlation) of the non-normal probability distribution function?
In my research, I am examining the relationship of one financial asset and a stock market. Since it's volatile we can say that the probability distribution function of the two is not Gaussian. Cross-...
1
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0answers
51 views
Sources of Growth and co-integration: production function approach
I am experimenting with time series data to gauge the importance of factors of production i.e. labour force, capital stock, energy, land, etc. in output growth. One venue I am looking into is the ...
3
votes
1answer
179 views
VECM interpretation in Matlab?
After testing for cointegration with Johansen test using the following code
[h,pValue,stat,cValue,mles] = jcitest(ret,'model','H1*','lags',4,'display','params')
...
1
vote
2answers
339 views
Johansen cointegration and VECM?
I am confused about how to proceed about testing for cointegration. I am interested in testing for cointegration between 3 stock indices.
I was instructed to use returns and not prices. So my ...
3
votes
1answer
126 views
Can PPP adjusted values be compared over time?
I'm a little baffled about this:
Let's say I want to compare the average income of 2 countries, A and B. Of course I'm interested in the real income so I adjust to PPP using the big mac index of that ...
2
votes
3answers
87 views
Interpetation of coefficent in AR(1) model
An AR(1) process is given as:
$$x_t=\rho_0+\rho_{t-1}x_{t-1}+\epsilon_t$$
This regression tells us that $x_{t}$ is a function of its value at time $t-1$.
My question is, how do you interpret its ...
2
votes
1answer
50 views
When estimating VAR(1) by OLS, I get transpose of AR matrix. Why?
Model: $y_t = \Phi y_{t-1} + (\mathbb{I_n}-\Phi)\mu + \Sigma \varepsilon_t$
s.t. $y_t$ is a $(n \times 1)$ vector, and $\varepsilon_t \sim N(\vec{0},\mathbb{I}_n)$. $\mathbb{I}$ is the identity matrix....
4
votes
1answer
62 views
Looking for discussion on equilibrium vs dynamic models in econometrics
I'm a statistician/machine learning scientist more familiar with molecular bio than economics. Trying to find out if an issue I perceive in bio modeling also occurs in econometric modeling.
A common ...
1
vote
1answer
141 views
Real GDP explanatory variable
In order to make an econometric model for explaining the evolution of the US Real GDP, does it make sense (from an economic point of view, not from a statistical one) to include CPI (as a proxy for ...
3
votes
1answer
70 views
What are the 'best' variables out there to forecast accurately GDP and inflation according to macro literature?
What are the best variables out there to forecast accurately GDP and inflation according to macro literature?
I'd like to forecast the next quarter, not the long-run.
Some time-series ideas I ...
4
votes
1answer
2k 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-...
1
vote
0answers
39 views
Can a MS-VAR(1) be discretized to a Markov-chain the same way a VAR(1) has a discrete approximation?
It is well known via Tauchen (1986) that a VAR(1) process can be approximately fairly well (in the absence of persistence) by a discrete Markov-chain if the innovation is distributed standard normal.
...
1
vote
1answer
53 views
Adjusting a ratio variable to constant 2000 dollars using a deflator index
Using Deflation index to create constant 2000 dollars, if I am finding a variable that is a ratio of that variable to GDP (say, income tax revenues), how do I go about this? Should I first divide my ...
1
vote
0answers
22 views
How to compute standard errors for Blanchard-Quah-restricted SVAR?
People tell me that the way of bootstrapping standard errors in the original paper is incorrect, but then how should I do it?
Is there a convention of how to compute standard errors for Blanchard-...
0
votes
1answer
30 views
PMI - Purhasing Managers Index
I need the PMI time series for an econometic project but it seems I can't get it for free on the internet.
Does anyone know where can I download it for free?
Also a proxy for this series would be ...
1
vote
1answer
189 views
Econometric model for industrial production
I have to build a multivariate regression model as a project for my course in time series analysis. I have decided to model the industrial production index of the USA. I am stuck on the selection of ...
3
votes
1answer
178 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 ...
4
votes
2answers
928 views
Why Is Cointegration Important In Practice?
In one of my econometrics classes. I'm nearly finished a problem set and assigned readings on an introduction to cointegration. I've essentially finished the assignment, run dickey fuller tests on ...
2
votes
2answers
371 views
VAR Models - Identifying Block Exogenous Variables Through Granger Tests
I have run a VAR model, and done granger causality tests (results pasted below) and am trying to answer a textbook question which asks:
Is there any variable that appears to be close to being block ...
0
votes
1answer
54 views
Monetary Policy and international reserves— interpretation of the estimated coefficient
I have a problem in interpreting a coefficient in my regression below:
I am estimating the following regression in the spirit of an event study analysis with daily data:
$\Delta ER_t = \beta_1 ...
6
votes
2answers
2k views
Why does slowly decaying ACF indicate that a time series is non-stationary?
I am a student studying time series econometric online and looking for help talking around some of the principles. There is one point I am trying to understand better.
I've come across some ...
