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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20 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
18 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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0answers
14 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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0answers
13 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
30 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
32 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
12 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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0answers
12 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
36 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
16 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 ...
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0answers
21 views
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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0answers
23 views
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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0answers
41 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
23 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
34 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
15 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
...
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1answer
31 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
78 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
67 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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0answers
35 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
111 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
19 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
16 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 ...
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1answer
72 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
33 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
28 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
79 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 ...
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2answers
84 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:
...
7
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0answers
68 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.
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1answer
86 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
87 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
163 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
58 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
71 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
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. ...
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0answers
58 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
227 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
495 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 ...
4
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1answer
139 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
94 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
56 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....
3
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1answer
63 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
187 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 ...
2
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1answer
99 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
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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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0answers
41 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.
...
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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
23 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
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1answer
31 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 ...
