time series analysis

Hey everyone, i'm struggling with modelling some times series to get residuals with white noise characteristics. I use SPSS for ARIMA modelling and exponential smoothing and Gretl for stationary testing with the Augmented-Dickey-Fuller and the KPSS-Test. My workflow: At first I use Gretl to...

Hey everyone, i have a question about the results I get when I do a cross correlation of two white noise time series with SPSS 21.0. Why do I get two different results depending on how much variables I insert in the window for the cross correlation? For example: If I insert the variables...

Hello, I have already corrected the stationary of my elements with diff, but to analyze the VaR (), CVaR (). It is necessary to create a portfolio, I have seen many packages that have left me confused. How is the procedure to create a crypto portfolio? that is I must assign all the columns of...

Hello there! I am struggling at the analysis part of my thesis. I want to compare countries according to their growth rates over time. So in other words, do they increase or decrease over time more than the others or less… I saw that time series panel data regression with dummy coding for the...

As part of my University research project, I have decided to study the impact of Immigration on house prices but find that the immigration Variable that should be statistically significant according to literature appears to be insignificant. I don't know whether this was down to the method I...

Hi everyone, currently I'm working on a project where I want to test effects of external indicators on internal sales data. So I already collected a lot of data and now want to compare two time series. But there are some things I'm not sure about: Is it recommendable to decompose each time...

I need to find the solution to this question, could someone help? Consider the stochastic process {Xt;t ∈ Z}. Let fX(λ) = |1 +1/3 eiλ|2 be the spectral density function and RX (t) be the autocovariance function of {Xt; t ∈ Z}. What is the value of RX(1).

Hi all, i have a very simple question, because i am not good at statistics but i need that :) I have two signals, one is lets say 'x' another is 'time', so its a time serie. I need to find the upper and lower values of my signals according to confidence interval and then show them on a graph...

Hi, assume that we have time series with autocorrelated values described by the regression model Y_i ~ X_i. As far as I understand, in AR-regression models, this correlation is considered by assuming that residuals are autocorrelated. Instead, I could introduce additional predictors...

Hello there, I would like to know what would be the best method to measure the relationship between variables like life expectancy and income over time (years)? In my case I have a time series with around 30 years. I would like to examine if there is a dependence between variables like life...

There is an aggregated measure represented by a variable A, modeled as a time series from a process. There was a need forecast A and also to find out the historical amount of data of A that is the best reflector of future values of A (as there was a data storage capacity issue). Using a...

There is an aggregated measure represented by a variable A, modeled as a time series from a process. There was a need forecast A and also to find out the historical amount of data of A that is the best reflector of future values of A (as there was a data storage capacity issue). Using a...

Describe what role Exploratory Data Analysis (EDA) has in the application of time series modeling. Include: (a) Why is testing for a normal distribution important? (b) Why is testing for skew and kurtosis important? (c) What role does hypothesis testing play? (d) What distribution is used for...

Hello everyone, I am new to this forum and I would need some help on a time series regression model with financial variables. I am regressing Y=S&P500 Health Care index c X=bookmaker odds for the victory of Hillary Clinton x=S&P500 x=USD/EUR everything is in dlog, and I use the lag of...

Checking a variable for I(1) process, when should i use a ADF vs DF test?

Good morning and thanks in advice for your time. Can I use Granger casuality for studying if a financial variable (stock price of a company) can be caused by a non financial variable (like the number of hours the employers work)? If not, do I have to consider my non financial variables as...

Hi, I am currently working on a paper where I run a VECM and get significant values. However, I am not quite sure about how to interpret the output and how take the different values and express them with an equation. I run the test in SATA using the vec command Attached is a picture of...

So, it is said that whatever is in fashion once comes back someday or the other. We have collected data on 10 different garment types, each having 5 different sub-types on what was in fashion in 50 years. (Eg- Jeans->Waist->High/Low/Mid-rise) We plan on assigning each sub-type a grade/number...

Hello, I am new to R and I am trying to conduct a time series ARIMA analysis for my work.

Hey, I have a data set which includes weekly/monthly sales and questions about customer satisfaction. I have already done EFA/CFA based on these satisfaction questions (turns out it's just one satisfaction factor) I would like to regress sales on satisfaction, but I think I should include a...