Questions tagged [time-series]

statistical techniques for application to data whose observations concern an entity or phenomenon at different points in time.

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31 views

Could COVID-19 have brought deaths forward, rather than creating more?

From cursory examination of this graph by the CDC, we see a spike in US deaths (from all causes) well above trend in early 2020, but - unexpectedly - deaths are currently tracking below trend Is it ...
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42 views

How do I predict Macroeconomic indicators?Or are there any free resources where I can get the predicted values?

I am building a time series forecasting model in which I am considering the macroeconomic indicators as predictors.I wanted to ask 2 things How do I get the future values?I have seen trading ...
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1answer
24 views

markov-switching model and stationarity

To test the structural breaks and to perform markov-switching model in time series data, should i have stationary data. Thank you in advance.
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33 views

Stationarity of cyclical economic data

I'm having trouble understanding how macroeconomic or industry data could be made stationary if there's only a limited length of time series available (e.g. 2012-2019) and I have a time series that ...
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10 views

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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1answer
18 views

Does analysis at two points in time count as 'longitudinal'?

According to whatever norms and expectations exist in the econometrics literature - if an analysis looks at two points in time can this be described as longitudinal, or would more time slices ...
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26 views

Using ML to estimate demand function

Say, I am looking to estimate the demand curve for rental of a real estate property. The demand varies depending on time of the year, location, economic and demographic variables. I'd like to ...
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37 views

What would be the mean of a finite aggregation of AR(1) processes?

What would be the (expected) mean at each period $t$ of a (in)finite aggregation of $AR(1)$ processes generated by the same data generating process? How would the resulting plot look? For $i.i.d.$ ...
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12 views

how to adjust price data due to clock changes?

I'm trying to analyze the hourly price variation of the electricity market. However, because of clock changes, due to daylight saving time, we have a missing hour in March and an additional hour in ...
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39 views

How to determine covariant stationary values?

I am trying to determine the values for when this ARMA model is covariance stationary. I have the model: $z_t = a + Bz_{t-1} + u_t + u_{t-1}$ I have written it in terms of the lag operator: (1 - BL)...
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13 views

Panel data with state-invariant exogenous value?

I am beginner in panel data. I would like to do a simple regression with a panel of countries for each period but only one (global) exogenous variable in each period (some like that y_{i,t}=x_t). I ...
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24 views

The number of observations in a time series [duplicate]

I have data from 2006m2 to 2018m9 on the annual inflation rate in in the UK, defined as 100 * $ln(\frac{p_{t}}{p_{t-12}})$. How many observations do I have? I have determined 141, since 156 months ...
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35 views

Why must the lag length of the autoregressive term in an ARDL model be determined separately?

I am estimating an autoregressive distributed lag model, and I've read that I must determine the lag length of my autoregressive term separately from the lag length of the other regressors in the ...
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24 views

How to correct an error correction model

I have found ARCH effects at the 10% significance level. What could I do to correct this?
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2answers
38 views

Unit root testing in Eviews

I've plotted my data log(GDP) which displays an albeit small upward trend. However, after performing an ADF unit root test log(GDP) it suggests that I can reject H0 [that there is a unit root] at the ...
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26 views

Time series in monetary policy

I wanted to learn how time series analysis is used to study monetary policy/ money and banking data, such as how and which techniques are used to study which data, what kind of problems are studied ...
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16 views

What would a long run multiplier larger than 1 imply?

After testing for cointegration I have found that the LR multiplier = 1.5 (a 1% increase in GDP leads to a 1.5% increase in consumption). I think this is an unlikely result but was wondering if this ...
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1answer
26 views

Estimating a difference-in-differences with multiple time periods: why do margins results change when you simply change the base period?

My understanding of margins results is that they should not be sensitive to the base period chosen for a categorical time variable. However, I find that they are. ...
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11 views

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 $...
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32 views

causal time series analysis economics

I want to analyse the relationship between the level of globalization,and the level of income inequality between two specific countries. however, I'm quite lost as to which method is good to use (in ...
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23 views

Interpretation of Impulse Response Functions for VAR models using Log First Differences

I am exploring a VAR model with 9 variables but for simplicity let us consider a model with only two variables and one lag. The VAR model would look something like this: $$ y_t = \alpha_{11}y_{t-1} + \...
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1answer
29 views

Limit of random walk auto correlation function

Given the random walk process $y_{t}=y_{t-1}+e_{t}$, the auto correlation function is given by $corr(y_{t}, y_{t-h})=(\frac{t-h}{t})^{1/2}=(1-\frac{h}{t})^{1/2}$, which tends to 0 as t tends to ...
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46 views

Microeconometrics course vs time series

I am currently a graduate student in Operations Research and I would like to learn econometrics, as it is not a part of the core curriculum. I am comfortable with matrix algebra (many courses used ...
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30 views

Cointegration but no Granger causality

Suppose I have two variables - $y_t$ and $x_t$ - which are cointegrated. I believe that (i) $y_t$ responds to deviations from the long-run equilibrium, (ii) the long-run elasticity of $y_t$ with ...
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1answer
33 views

Forecasting quarterly EUR/USD exchange rate

My aim is to forecast the one-quarter ahead EUR/USD exchange rate. I have constructed a regression model with the following as explanatory variables: exchange rate in the previous quarter, EUR/USD ...
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1answer
21 views

Can you recursively forecast one variable using two variables?

My question is probably very elementary but I haven't been able to find an explanation of recursive forecasting that I fully understand. I've read a journal article that seemed to recursively ...
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27 views

Can you take the moving average of quarterly data of an explanatory variable in a regression to smoothen noise and get more accurate coefficients?

I'm trying to use acceleration of quarterly data on household debt (the difference in the difference in debt) in a regression on unemployment (only concerned with correlation) but quarterly data is ...
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27 views

Stock price and exchange rate is correlation, but VAR model order is zero

It is well known that Japanese stock price and exchange rate(USD/JPY) is correlation, So I built a VAR model in python about stock data(Tokyo stock price index) and exchange rate(USD/JPY) and I fitted ...
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8 views

Evaluating the impact of US federal grants

There are a number of challenges with evaluating the impact/effectiveness of federal grants in the U.S. In particular, it's easy to obtain a (somewhat comprehensive) record of transactions between ...
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1answer
39 views

Does it matter which is the dependent variable in regression of time series data?

I am testing for cointegration between the Real GDP per capita of England and France. I use a Dickey-Fuller test to test for stationarity and concluded that both of my series are non-stationary. So I ...
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8 views

Is there a specific test for this procedure? (NKPC and coefficient stability)

I'm running a GMM regression in order to estimate a New Keynesian Phillips Curve, with forecasting purpose, and i want to know if there is a testing procedure for the following problem: (i) First i ...
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1answer
93 views

Dealing with Missing Values in Diff-in-Diff Estimation

To preface this, I am asking this question on the Econ SE because I was made aware on Cross Validated that Difference in Difference estimation is quite an economics specific method. The picture above ...
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38 views

what can be the proxy variable for measure of product innovation?

My objective is to prove that international trade leads human capital formation which leads to economic growth. I am regressing GDP on multiple variables among which Human capital is one. According to ...
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16 views

GARCH data modeling

I am analyzing three time series returns for stocks, bonds and real estate, and have done prelimanary tests including Engle's ARCH test which came back as not rejecting the null hypothesis. IF there ...
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1answer
42 views

Data analysis with GARCH modeling

I'm currently analyzing the relationship between stock, bonds, and real estate returns in Germany. I've gathered my data and am planning on estimating this equation: $\sigma_t = \beta_0 + \beta_1 R_{...
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1answer
36 views

JNK and SPY price movements question

I am looking at the graph of JNK and SPY prices close prices since 2008. From 2008 to 2011, the two prices seem to move together. However, somewhere in the beginning of 2012, the prices all of a ...
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28 views

Should I care about stationarity when dealing with cyclical components?

I have downloaded time series data from the IMF-IFS website for 31 different countries. The time series are about GDP, constant prices, national currency (yearly); lending interest rate (monthly); ...
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20 views

Regressing two unit root variables

I am supposed to explain the rate of customer defaults by some macroeconomic variables, such as unemployment, GDP growth etc. For simple linear regression, I have promising results: ...
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58 views

Should I include lags in an LLC unit root test?

I have panel data (N = 10, T = 20), which I intend to run a series of regressions on. I first want to see if my data are stationary in levels or in differences. To do this, I have been performing ...
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33 views

Stationarity of log industrial index and log CPI

I'm looking to estimate a VAR, one of the variables in this VAR is the log of industrial production, and another is the log of the consumer price index. Will I need to difference these to get ...
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1answer
21 views

Physical goods in a typical household

Estimating how much of physical goods a somehow typical person or household owns today (say in the Western world, compared to former times) is not so easy I guess, but there is one single number that ...
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23 views

Is there such a thing as resonance in economic underliers?

In physics the occurence of resonance is explained and widely understood in its linear form and subject to research in nonlinear resonance. Example for instance are resonant frequencies of objects. ...
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1answer
41 views

Are Complex Roots in Macroeconomics OK?

I've been estimating some non-linear Macroeconomic models. As a field, do we care about complex roots of the autoregressive matrix? Is there any reason to think the real word processes have real ...
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1answer
36 views

If two variables are not cointegrated, can one still cause the other?

For part of a project, I wanted to see if electricity consumption causes GDP in Colorado. I initially intended to follow the approach of Mozumder and Marathe (2007), who use a VECM approach, but that ...
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15 views

covariance of autocorrelated time series

When we calculate the variance of a time series with autocorrelation, we need to do some shrinkage to get the correct value. What about say we have two time series, X, Y. both have autocorrelations. ...
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1answer
38 views

The impact of news in the stock market?

I am currently working on a large sample of textual data from news articles. I was just wondering whether there exists any studies which tries to explain the market anomaly known as "The-Day-Of-The-...
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80 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 ...
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1answer
36 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.
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1answer
124 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: $GY_{it}$ = ...
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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 ...