time series

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    Time series problem - variance of w mean in an AR(1) process

    Hi, I'm learning about Time Series, and I'm with trouble in one exercise (attached). I don't even know how to start it. It's about proofing for a auto-regressive process, AR(1) that the variance of w mean (w is the difference of order d that transform an nonstationary process into a stationary...
  2. M

    interpreting a correlation plot (time series)

    Hi, I've been asked to suggest a time series model based on the following correlation function, I was just wondering what you would suggest, ACF Yt 0.97 0.97 0.91 0.80 0.79 delta Yt -0.42 0.18 -0.02 0.07 -0.1 I can tell straight away that the time series Yt is non...
  3. M

    time series

    Hi, just wondering whether someone can confirm how to do this properly, given a tabulated set of values of a time series for 4 quarters in each year 2004-2008, I've been asked to apply a centred 4 MA smoother to the time series and then construct the seasonally adjusted time series from this. I...
  4. M

    T test for different groups over time

    Hi all, I know that paired t-tests are appropriate for the same group of people at several points in time while independent t-tests are for 2 different groups of persons. But what about when it is a combination of both (ie: looking at different people overtime?) 1) I want to compare 2...
  5. M

    Time series beginner help urgent!!

    Hi, just looking for some help from anyone familiar with ARIMA modelling of time series. I am trying to get a stationary series from my data, I differenced the data and the following plots are of the time series and PACF of the differenced data: http://imageupload.org/?d=A81F343D1...
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    time series help!!!

    Hi, I've been asked to model some time series data, and decide on an ARIMA model that fits the data. The ACF function is here: Lag ACF T LBQ 1 0.586150 4.69 23.04 2 0.408311 2.51 34.39 3 0.329731 1.86 41.92 4 0.273238 1.46 47.18 5 0.202848 1.05...
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    Time series analysis to forecast revenue

    Hi, I work in OpFin for a search agency. Our clients work with 3 different platforms (Google, Yahoo and Microsoft) and 2 of them (Yahoo! and Microsoft) are merging next year in Europe (Both platforms already merged in the US back in 2010) I am working on a project to forecast European...
  8. S

    testing rates through time

    Hello all, this seems like it should be a simple questions but our team cannot find an answer to the question. If I have data set up like the following (the numbers are the percent that react positively to the drug): Drug 2007 2008 2009 2010 A 59 62 61 62 B 50 49 58 61...
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    Proportions through time

    Hello all, this seems like it should be a simple questions but our team cannot find an answer to the question. If I have data set up like the following (the numbers are the percent of that fruit rotten): 2007 2008 2009 2010 Fruit A 59 62 61 62 Fruit B 50 49...
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    Non-linear time series analysis

    I´m looking for help to anlyse in R (or SAS) a non-linear time series dataset. I worked with six cows during three days and registered urine events of each cow during each day. I have 4 to 12 events for each cow and day that are non-equally spaced in time. I want to know if I have an...
  11. M

    regression time series

    Dear Members, I need to do time series analysis. I have retail sales data of a retail company since January 2006(every month). I need to forecast 2012. But I have other variables that effect the sales such as number of stores, supply ...It seems time is not only the variable that has impacts...
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    Trend data with categorical independent variables

    I have 4 time points (future timepoints will be added shortly) measured for each company (about n=150). Each company is associated with one of 20 regions which is associated with one of six cities. At each time point, a % injured is calculated that was converted to a specific rate. I think...
  13. O

    year fixed effects in time series regression

    I'm trying to estimate what effect the tariff rate in a specific country has on evasion of tariffs (or rather the underreporting of the value of goods in customs). My dependent variable is a proxy for evasion and the explanatory one is tariffs. I have data spanning continuously over about 15...
  14. R

    Gretl - Pooled Time Series Cross Sectional Data

    I've been working on a multiple regression analysis on bank failures using a probit model. I am currently using cross sectional data but I would like to use time series data in order to use historical data and increase the sample size. I am unsure of how to do this using the Gretl interface...
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    Challenge: dependent variable observed randomly over time

    Hello everyone, I have been working on this problem and couldn't find a solution so any kind of help is more than welcome! I have data ranging from the year 1900 to 2000 in 150 cities for four independent variables (one of which is a dummy). These nicely constitute the requirements of a...
  16. S

    Time series or just repeated measures?

    Hi All, I have data on 7 clusters (ie, sites). The date are monthly counts (there is no zero inflation in most of the outcomes of interest...most clusters have a count in the 10s-100s for each month) , from Jan 2004 to May 2010, however only one cluster has data before March 2006. By...
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    Good Resources for understanding Time Series Analysis

    Hi All, I am new to time series analyst community. Basically I am an IT capacity planner and need to understand the concepts of Time series analysis. I am not from statistics background, so avoiding books covering the formula derivations, too much theory. I have SAS ETS and HPF modules...
  18. R

    VECM help!

    Hey all, I have a problem concerning STATA'S VECM capabilities. I am trying to run a regression using vec and implement an irf from the model. However, after running a vec, irfs do not include confidence intervals. This is not unique to STATA but I can't figure out why the bootstrap method...
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    Estimate of mean after a time series approaches equilibrium

    I am working with a time series for a quantity that undergoes some relaxation towards a mean value, after which it appears to exhibit strong noise and possibly some very weak drift. Here is a graph of the time series: While I can eyeball a good estimate for this mean, I'd like a more...
  20. M

    Running Times Series and Cross Section Analysis separately over the same data?

    Hi all! I am running over the same data a time-series regression and a cross section analysis. The time-series regression determines the bond spread regression for a certain firm based on the firm past bond spread historical. The cross section regression determines the regression based...