Questions tagged [time-series]
statistical techniques for application to data whose observations concern an entity or phenomenon at different points in time.
125
questions
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22 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
30 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
20 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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2answers
24 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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26 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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7 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 ...
2
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1answer
37 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 ...
3
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1answer
55 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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2answers
31 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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0answers
14 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 ...
2
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1answer
35 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
30 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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26 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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0answers
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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0answers
30 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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24 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 ...
2
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1answer
20 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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15 views
Do all parameters have to have the same nature in a structural change test?
Lets say I am building a market model to estimate the beta of a stock with respect to a index of stocks.
The beta maybe Constant / Autoregressive of order 1 / doing a random walk. I realize there are ...
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19 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
36 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 ...
3
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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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0answers
13 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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26 views
How do I rebase my GDP with different base year?
My data are the following:
Current GDP 1996-2017
Real GDP (base year 1985) - 1996-2009
Current GDP - 2009-2017
Real GDP (base year 2000)- 2009-2017
My question is how would I rebase my data from ...
2
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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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0answers
17 views
Are there phi2 phi3 statistics for the DF-GLS unit root test?
It's known that there are phi 2 and phi 3 statistics when performing ADF unit root tests. These statistics tell us the correct specification of the model (Trend, constant, or none). When running ADF ...
2
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0answers
60 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
31 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
73 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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0answers
16 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
35 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
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2answers
127 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 ...
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1answer
99 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?
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44 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
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1answer
116 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 $r_{t+1} = x_t + y_t + \epsilon_{r, t+1}$ ...
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0answers
21 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 ...
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0answers
20 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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1answer
94 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 ...
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0answers
41 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 ...
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0answers
29 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, ...
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1answer
91 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
29 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 ...
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2answers
90 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:
...
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0answers
76 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
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1answer
99 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
99 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
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2answers
214 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!
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2answers
66 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
92 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
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0answers
58 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. ...
