# 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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 ...
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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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 ...
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### 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: ...