Questions tagged [time-series]
statistical techniques for application to data whose observations concern an entity or phenomenon at different points in time.
146
questions
4
votes
2answers
32 views
Year Fixed Effects in a Dynamic OLS Regression with Cointegrated Variables
I am estimating a dynamic OLS model since I have variables that are non-stationary, but cointegrated. In addition, the data is a standard time-series (i.e. one observation per one time period) so ...
0
votes
0answers
19 views
Interpretation of largest inverse root in a stationary time series
Let's consider a stationary time series that can be modelled with an AR(p). I know that the cumulative effect of a shock is given by$$ \frac{1}{1- \sum^p \theta_i}, $$ where $\theta$ are the ...
2
votes
0answers
24 views
On Cointegration with Structural Breaks
I am slightly confused about the requirements necessary to conduct a cointegration test with structural breaks such as the Gregory-Hansen test.
Suppose I have two I(1) variables.
Variable 1 follows a ...
3
votes
1answer
44 views
Can You Use Filtered Variables in OLS?
I have two variables that are non-stationary and contain stochastic trends. I used the Hamilton filter( an improvement over the HP filter) to remove the trend and isolate the cyclical component. My ...
1
vote
2answers
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 ...
0
votes
1answer
26 views
markov-switching model and stationarity [closed]
To test the structural breaks and to perform markov-switching model in time series data, should i have stationary data.
Thank you in advance.
1
vote
2answers
41 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 ...
1
vote
0answers
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 ...
0
votes
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 ...
0
votes
0answers
30 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 ...
1
vote
0answers
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 $i.i.d.$ ...
0
votes
0answers
13 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 ...
0
votes
1answer
44 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)...
0
votes
0answers
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 ...
0
votes
0answers
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 ...
1
vote
2answers
43 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 ...
0
votes
0answers
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?
1
vote
2answers
44 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 ...
0
votes
2answers
30 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 ...
0
votes
0answers
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 ...
1
vote
1answer
28 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.
...
0
votes
0answers
11 views
Weakly Dependent Time Series | Common Error
I am watching a video, that mentions for the following time series:
$x_t=\epsilon_t+\theta\epsilon_{t-1}$
$\textrm{Corr}(x_t,x_{t-1})ā 0$
Then it mentions if we have anything greater then 1 such as $...
0
votes
2answers
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 ...
0
votes
0answers
25 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} + \...
0
votes
1answer
30 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 ...
0
votes
0answers
52 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 ...
0
votes
0answers
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 ...
1
vote
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 ...
0
votes
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 ...
1
vote
2answers
28 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 ...
0
votes
0answers
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 ...
1
vote
0answers
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 ...
2
votes
1answer
40 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 ...
0
votes
0answers
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
votes
1answer
118 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 ...
0
votes
2answers
39 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 ...
1
vote
0answers
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 ...
2
votes
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_{...
2
votes
1answer
46 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 ...
0
votes
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:
...
0
votes
0answers
72 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 ...
0
votes
0answers
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 ...
2
votes
1answer
22 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 ...
1
vote
0answers
25 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.
...
0
votes
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 ...
3
votes
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 ...
0
votes
0answers
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. ...
2
votes
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-...
3
votes
1answer
97 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
40 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.
