Questions tagged [time-series]
statistical techniques for application to data whose observations concern an entity or phenomenon at different points in time.
119
questions
3
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1answer
49 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
25 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
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0answers
12 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
31 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_{...
1
vote
1answer
21 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
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0answers
25 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); ...
0
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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:
...
0
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0answers
25 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
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0answers
23 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
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 ...
0
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0answers
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 ...
1
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0answers
15 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
33 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
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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. ...
0
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0answers
19 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
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-...
0
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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 ...
0
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0answers
22 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/...
0
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0answers
31 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 ...
2
votes
0answers
50 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
29 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.
0
votes
1answer
65 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:
$GY_{it}$ = ...
1
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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
vote
1answer
33 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
votes
2answers
91 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 ...
0
votes
1answer
85 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?
0
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0answers
43 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
votes
1answer
114 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 $r_{t+1} = x_t + y_t + \epsilon_{r, t+1}$ ...
1
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0answers
20 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 ...
1
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0answers
18 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
votes
1answer
84 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 ...
1
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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, ...
0
votes
1answer
86 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
votes
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 ...
0
votes
2answers
87 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
votes
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
vote
1answer
95 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
94 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
votes
2answers
195 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!
1
vote
2answers
65 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
83 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
votes
0answers
57 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. ...
1
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0answers
69 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
260 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')
...
1
vote
2answers
604 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
votes
1answer
155 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
102 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
59 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....
