time series analysis

  1. G

    Granger casuality: which kind of variables can you compared?

    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...
  2. S

    Interpreting VECM/ ECM result

    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...
  3. S

    What tests and analysis for 50 year data collected on fashion trends

    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...
  4. A

    R Arima Equation Question - Please help!

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

    Which type of time series to use?

    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...
  6. Y

    Variance ratio and Hurst exponent tests

    Hi, I have used the Chow Denning test and the Hurst exponent (Peng, Whittle and R/S methods) to examine if a particular time series follows a random walk. My results are conflicting between the 2 tests. From what I can fathom, the Hurst exponent does account for multiple variances (although I...
  7. E

    Descriptive statistics on dummy variables in financial time series

    I got daily returns for the last 15 years. I would like to find the the descriptive statistics(mean,Stdev,skewness, kurtosis) impact on last Thursday of every month. I have created a dummy variable to reflect the same. How to find the descriptive statistics only for those days alone?
  8. U

    How to run a lagged (time series?) model in R?

    Hi there, I am wanting to run a lagged model where a predictor (X) at T1 is regressed on an outcome (Y) at T2, controlling for Y at T1 plus 2 covariates at T1, over a total of 20 time points (so as to test whether X causes Y). I could use a cross-lagged SEM in Lavaan, but most papers I've...
  9. T

    Time series Analysis : Vector autoregression in R

    I am finding relation between two time series M & M1. M and M1 both found to be stationary at first difference and also cointegrated at first difference. Using VARselect in R,I found out 4 as lag length for M and 6 as lag length for M1. Then I have tested for Granger and I got ...
  10. T

    VECM interpretation - Johansen-Procedure

    X1 , X2 , X3 and X4 are time series which are stationary at level.I want to establish long term relation between them.I am planning to use it as forecasting model for my work.I want to create this model in terms of equation.I have tested all of them for KPSS test and got p=0.01 for all of...
  11. T

    How to find correlation coefficients for periodic data?

    Please help: Correlation coefficients for periodic data? I am working on a hedging model for commodity.I have past 36 months data of commodity market price and future contracts price. e.g. on 1st April,2014, market price is x,April contract price = x+1,May contract price = x+2 and June...
  12. N

    rollapply with Arima model: testing for stability of coefficients

    Hi everyone, I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the following problems: 1) each window in the roll apply have different set of...
  13. R

    Reading/converting time series in R

    Hi, I am relatively new to R and struggling with a probably trivial task. My challenge: I want to forecast hourly Power prices. And this is already where the dilemma starts as I am not sure how to tackle this best. Since there is an obvious weekly cycle (ie Power Prices much lower on weekends)...
  14. I

    Time Series Analysis Threshold Value

    I have time-series data for 0 min, 5 min, 10 min, etc. for 5000 genes. (Gene expression). I want to set a threshold value to eliminate reads that are just "noise," so that they do not contribute too much to the fold-increases/decreases that I am trying to analyze. What is a good way to...
  15. M

    Testing when one year's sales volumes vary significantly from this time last year

    Hi all, I have a puzzle regarding sales volumes and how to know whether, 6-months into the year, for example, my current volume is on track for budget or not. E.g. it might be -5% off where I need to be to be matching a profile based on last years figures but scaled to hit my target for this...
  16. M

    Symbolic Regression applied to multiple time series - risk of spurious regression?

    Hello together, I want to build a predictive model for sales data, and herefore I want to analyze sales data and its correlations with other time series using Symbolic Regression (Eureqa: nutonian.com). In traditional multivariate time series analysis (e.g. VAR models) there is the risk...
  17. H

    Date variable for Time Series Modeler

    Hi, I have a huge table of DAILY data for 20 years. I have variable of type date, which indicates each day of my data. So i want to use it for Time series forecasting. But it s not recognized as date and I\m forced to define dates. This doesn't help, because thus I cannot use by Date variable...
  18. M

    Intervention Analysis with several different events with Eviews

    I have a daily data of visitors and 3 different events ( exhibition, article, tv). I would like to determine how those events impact visitors flow. Several continue for some days and few have pretty short intervals between, 2-3-4. Graphically, events don't have longer impacts, they look more...
  19. M

    Time series analysis with external events in R

    I have a time series of daily website visitors and several different marketing events (some continuous for several days). I would like to determine what impact did those marketing events have on website visitors dynamics. What approach would you suggest in terms of analysis ? I'm working with R...
  20. E

    Time series degree of slope: Calculating what I see

    Good morning Crew Genius! I want to calculate the degree of slope at each point in a time series. Different time series have different scales. The final number should be normalized in the range of +/-90 degrees. Basically, when I plot my time series in Excel, I can see the degree of slope up...