time series

  1. K

    time series with bivariate data?

    I have a datetime (yearly) variable which indicates when/if a subject registered, a count of the 400,000 subjects who registered at each facility and those subjects identified as being asked a particular question upon registration, a dichotomous yes/no. The requester asked that their time to...
  2. 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...
  3. J

    Determining stationarity

    Hi there, I have this current problem to solve, relating to time series analysis Suppose that {et} is a white noise process with variance s2, and that a, b and c are constants. For each of the following processes, determine if they are stationary, and if so, find their mean and autocovariance...
  4. C

    Reliability measure of price indices

    Is there any method to calculate a reliability score for a price based on the date gap? As an example if the price has not varied over a large period of time that means the std deviation of that price is low then the reliability of that price is not varying is high. On the other hand if...
  5. J

    Time series

    Hello, I have a question about time series. I have two time series (very similar, they differ just due to the minor calculation method) and I wonder if there is some test to verify if these two time series are statistically significantly identical (equal). I tought about the two-sample...
  6. L

    Multilevel modeling - dependent variable is not normally distributed

    Hello everybody, I am doing the research, using Multilevel linear modeling (MLM), with dependent variable number of days of payment delays, which is not normally distributed. Is that a problem for MLM? Is it necessary for Y to be normally distributed? I have done a winsorisation- have limited...
  7. E

    Time Series with Multiple Intervention Dates

    I'm working with a time series in which the same intervention was applied to a large number of items but at different points. Essentially, I have figures by day (and can roll them up by week, month, etc.) and I am trying to figure out what the impact of the intervention is on the figures. The...
  8. C

    Comparing variability of several independetly time series

    To compare several independently distributed time series, I decided to take a compare their coefficient of variations. Is there any better way to compare them and even group them?
  9. J

    Simple concrete example of Wold theorem?

    I'm reading the Wold decomposition theorem for time series in http://faculty.chicagobooth.edu/john.cochrane/research/papers/time_series_book.pdf. I've googled this a lot, and I know that there is ample treatment of the subject online. However, the above book seems to be unique in that page 44...
  10. T

    Time series Analysis

    I have 4 time series.One of them is stationary and rest of them are not.I need to find relation between them.I will use AIC to decide lag length.Should I use VAR or VECM to find relation between them? Will VAR or VECM give me relation in terms of equation which can be used for forecasting? Do I...
  11. T

    Interpreting ADF Test result

    I have imported csv into R.CSV has 530 rows and one column.I tested it with 3 stationary tests and I got 3 different results. 1) > sapply(mydata,ur.df) $X765 ############################################################### # Augmented Dickey-Fuller Test Unit Root / Cointegration Test #...
  12. T

    Cointegration and granger's causality test in Excel

    I have following data: A -> 100 150 123 145 167 200 250 300 270 B-> 290 300 280 276 234 234 288 345 399 How can I perform stationarity,cointegration,Granger's test in Excel?
  13. R

    Durbin-Watson statistic below 2, fixed effect model

    Hello I am asking for your advice. I am working with unbalanced panel data set. Sample contains data about 11 largest Finnish insurance companies, time period is 13 years. Dependent variable is profitability indicator ratio; independent variables are concentration measured by HHI index and...
  14. N

    Longitude Latitude Time Series Plot

    Hi All! I have been looking to find a package that will allow to plot time series longitude/latitude in a map with density and connecting lines. For example, if t=1 for (lon1,lat1) then circle of diameter 1 is plotted at lon1, lat1. if t=3 for (lon2,lat2) then circle of diameter 3 is plotted at...
  15. C

    ARMA one step ahead forecast and forecast error

    For a ARMA(1,1) process with constant \theta is X_t=\alpha X_{t-1}+\theta +Z_t+\beta Z_{t-1} where Z_T is white noise with mean 0 and variance\sigma ^2. 1)Find the one step ahead forecast 2)Find the expected value and variance of one step ahead forecast error Here's what I did...
  16. K

    Predicting the near-future values using an unevenly sampled time-series data

    Hi there, I need help with predicting the near-future values using an unevenly sampled time-series data. Data is collected as events, and is converted to time series. I have tried out a few approached which have not been successful. Please let me know if there is anything I can do around...
  17. K

    Moving average with replicate X values

    Hello, I would like to calculate the moving average and confidence intervals of time series data. Alternatively, use a smoothing function (like loess). For some years I have upwards of 15 data points, for some years I have none. I cannot figure out a way to calculate a moving average when...
  18. K

    Plotting many time series on same graph (50+)

    Hello, Thank you for taking the time to read my question. I have a LOT of time series data that I would like to plot all on the same graph. My data looks like this: Year Region1 Region2 ... 1990 3.24 5.60 1991...
  19. K

    Summarizing time series data

    Hello, Thank you very much for taking the time to read this! I have many (~70) time series showing the average body size (kg) for the ~50 years. Each time series is for the same species but from a different region/area. I would like to look at the change in body size over time and how...
  20. E

    Regression model with no constant term & more

    Hi guys, There are a bunch of things that I'm getting confused about and while I've researched online for resources to get clarification, I'm still not certain about the answers. So hoping to get some assistance from the experts 1.) can we manually select a regression model that has no...