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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Books to self-study applied econometrics

I'm a student and I'm interested in focusing on the application of econometric theory to "practical" situations. It would be great if you can suggest freely available books along with those that are ...
user98139's user avatar
1 vote
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Example of the change of measure proposed in Hansen (2012)

In this question, I'm continuing to explore the tools used/presented in Lars Hansen's Econometrica paper "Dynamic Valuation Decomposition within Stochastic Economies" (2012). I'm trying to compute an ...
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Understanding the construction of stochastic processes

I've seen stochastic processes modeled/constructed in the following way. Consider the probability space $(\Omega, \mathcal F, Pr)$ and let $\mathbb S$ be the (measurable) transformation $\...
jmbejara's user avatar
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5 votes
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How do I construct the score process of a Markov model and verify that it is a Martingale?

The following is a specific question that is useful for demonstrating a general idea. Consider the following autoregressive model: $$ X_{t+1} = \alpha_0 + \beta_0 (X_t - \alpha_0) + W_{t+1}, $$ where ...
jmbejara's user avatar
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3 votes
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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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3 votes
1 answer
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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 ...
Count Zero's user avatar
2 votes
1 answer
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Heuristics with time series measured in dollars

Suppose the price indexes are adequately measured and there are no problems regarding the data in itself. By my experience, using a sector price index -- for the industry sector that you might be ...
John Doe's user avatar
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1 vote
2 answers
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Formula for the unconditional variance of the sum of observations from an autoregressive time series

I have notes that say that we can make the following calculations. I'm a little confused about some of the calculations that are being made. What assumptions would I need to get the following results? ...
jmbejara's user avatar
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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 ...
Bob Charles's user avatar
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1 answer
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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 ...
UmBert's user avatar
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Modeling asymmetric effects

I was at a colloquium with the Bank of Canada and the presenter was showing some impulse response functions (IRFs) of rate change effects. Intuitively people tend to borrow more when rates decrease ...
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