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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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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 ...
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1answer
28 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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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 ...
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Error Correction Model with two independent (control) variables [duplicate]

Is it possible to build an Error Correction Model with two independent ( control) variables? I mean with one dependent variable, and two independent variables. If yes, what are the assumptions/...
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Error Correction Model with more than one independent variables

I was wondering if it is possible to set up an Error Correction Model with two independent variables (one dep var, and two indep vars)? If yes, what are assumptions/conditions to be met? In the ...
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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
18 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
30 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 ...
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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 ...
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2answers
67 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
48 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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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?
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104 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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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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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 ...
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1answer
52 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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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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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
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 ...
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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
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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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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. ...
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1answer
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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 ...
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1answer
84 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 ...
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2answers
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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
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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 ...
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3answers
66 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 ...
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0answers
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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. ...
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56 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 ...
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1answer
197 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') ...
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2answers
411 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 ...
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1answer
130 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 ...
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3answers
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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 ...
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1answer
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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....
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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 ...
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1answer
161 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 ...
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1answer
85 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 ...
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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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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. ...
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1answer
54 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 ...
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0answers
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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-...
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1answer
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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 ...
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1answer
202 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 ...
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1answer
191 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
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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 ...
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2answers
402 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 ...
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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 ...
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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 ...
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2answers
440 views

Books to self-study applied econometrics

I'm a student and I'm interested in focusing on the application of econometric theory to "practical" situations. It would be great if you can suggest freely available books along with those that are ...