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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25 views

Comparison of coefficients in log(y_t) and log(y_t/y_0) LHS specifications in LP-IV

I would have a question related to econometrics. Likely not all the details are needed, but please bear with me. My goal is to use local projection with an instrument to find out the response of an ...
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1answer
23 views

Stationarity, ADF/KPSS, Autocorrelation and Heteroscedastiy

i have a time series which is not stationary due to ADF/KPSS test, but is is in its first difference. So ADF and KPSS tell me it is starionary so it has a constant mean/variance/autocorrelation. But i ...
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23 views

Does GMM have any assumptions that you can't test empirically (and must instead argue qualitatively for)?

My understanding is that you can empirically test some of the main assumptions required for using a GMM estimator. Namely, I understand that you can test over-identifying restrictions with Hansen's J ...
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31 views

Variance in the Context of a AR (1) Model

I wondered if someone could help me in terms of the required algebraic steps from expressions (3) - (4), for the the moving average representation of the AR (1) below? Would be appreciated. $$y_t=a +\...
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1answer
50 views

Recursive Substitution in Time Series

Would appreciate some guidance on a matter of recursive substitution, where we have the AR model: $$y_t = \alpha +\theta_1y_{t-1}+ u_t$$ And $$E(y_t)= \mu_t$$ Where: $$\mu_t = (1+\theta_1 + \theta_1^2+...
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44 views

What type of econometrics is practised most?

This might sound like a weird question, but what type of econometrics is most common in academia and / or the private sector? Here I am thinking about time series econometrics (Bayesian and ...
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1answer
19 views

How does using HP filter allows us to estimate long-run values for variables such as output and unemployement?

I'm reading the paper "Okun's Law: Fit at 50?" written by Laurence Ball, Daniel Leigh and Prakash Loungani. In it, in order to estimate Okun's Law in its level form, they use the HP filter ...
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1answer
26 views

Should one remove trend from time series before testing for cointegration?

Should one remove trend from time-series before testing for cointegration? I guess no, but I couldn't find any answers yet. Also is it necessary to remove trend before estimating a VAR model if the ...
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37 views

Deconvolution in economics

Here it says In mathematics, deconvolution is an algorithm-based process used to enhance signals from recorded data. Where the recorded data can be modeled as a pure signal that is distorted by a ...
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15 views

Is it okay to difference data with different time intervals?

I have a question that is from an old project and that I want to clarify purely for future research. The question is, if you have a time-series that occurs at intermittent intervals, say once ever 4, ...
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1answer
177 views

ARIMA - reason for + MA term

I have 2 questions regarding ARIMA. 1st: How do we get the MA component - the et's (as we want to regress yt on lagged yt and also et and lagged et's)? If I want to regress yt on lagged yt's, I have ...
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301 views

Could you recommend a book or lecture notes about time series that is easy to understand?

What are some time series texts that you would recommend to start studying? Some easy textbooks/lecture notes or step by step for undergraduate level. I'm not so good at math/statistics.
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1answer
43 views

GDP per Capita in Panel Data: Must the base year be the same for all cross-sections?

I'm trying to run a small project using time series in panel data. One of the variables used is the GDP per capita for a few countries (the countries are the cross-sections). Is there a problem if the ...
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20 views

graph of dependent variable after years of restructuring in panel data

i'm not very able to use stata. For my thesis, I have a panel data(1970-2017) for different countries and a lot of variables. In this dataset, there is a dummy (dhairendH) that is equal to one in the ...
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1answer
54 views

Time Series Analysis - What lag level is appropriate?

In my undergraduate econometrics class we were taught the basics of time series analysis. We were basically told to use a model with a one period time lag (lag = 1). However, I wonder that there must ...
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20 views

Intuitive/Practical meaning of non-stationarity of GDP Data

As i just read in a time series book that a particular GDP data under consideration is non-stationary verified through various tests. From non-stationarity definition this means that the process has ...
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1answer
78 views

How much can we trust macroeconometric analysis?

I am a student of economics in my masters and I have learned quite a lot about microeconometrics (I mean mainly quasi-experimental methods / causality determination). Here my current understanding is ...
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35 views

Time series Econometrics demonstration

Hey there! Can anyone help me with this? I am able to arrive to expression (3) from (2) by using the lagged variable and make the variation from $Y_t$ and then divide to the right such that $\beta_0 = ...
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1answer
27 views

Difference between long run coefficient and non stochastic steady state coefficient ARDL model

I am a little bit confused on the definition of long run equilibrium coefficient. Suppose I have an ARDL model as: $y_t = \rho_1 y_{t-1} + \rho_2 y_{t-2} + \beta_1x_{t-1} + \beta_2x_{t-2} $ The steady ...
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1answer
34 views

How to test for invertibility in ARCH family models?

I hope everyone is doing well. Citing Enders (2014) in the book Applied Econometric Time Series: "the Box–Jenkins approach also necessitates that the model be invertible" while discussing ...
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20 views

How to choose information criterion?

In time series analysis, it is often important to determine the optimum number of lags in order to remove serial correlation. For example, in VAR, Dickey-Fuller unit-root test or Granger causality ...
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1answer
82 views

Skepticism about the claims of instrument variable validity/exclusion through a statistical test—the Arellano-Bond Test

I am an applied researcher and occasionally come across papers that have panel data and that use dynamic models with both a fixed-effects term and lagged DV (or multiple autoregressive terms): $y_{it} ...
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2answers
49 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 ...
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20 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 ...
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28 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 ...
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1answer
46 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 ...
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2answers
44 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
27 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.
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2answers
60 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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32 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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43 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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14 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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1answer
51 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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15 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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27 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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2answers
46 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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27 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
68 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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2answers
35 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
35 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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2answers
33 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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36 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
32 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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75 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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31 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
34 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 ...