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    Selection of forecasting method - Winter/ARIMA/TBATS in R

    Please find my dataset and forecast outputs attached. A) First sheet contains March-2011 to February 2014 data and forecast for March-2014 to February 2015 using ARIMA,Winter's,TBATS and BATS method.It also has forecast errors obtained by comparing with actual output. B) Second sheet has...
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    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 ...
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    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...
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    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...
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    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 #...
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    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?
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    Urgent help needed: can I take mean of correlation coeficients?

    Historic market (Cash) prices and future contract prices are available for last 4 years. I have found correlation between Jan'11 market price with Jan'11,Feb'11 and March'11 future contract prices separately.I am planning to do the same for all months till Dec'14. So I will have 3 coefficients...
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    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...
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    Price forecasting model

    I am working on a problem where I have an item 'x' which is available in local market and 'x' is produced using item 'y'.Item 'y' is traded in futures market.I have historic price data available for last 2 years of both items. I have to forecast prices of x for next year. What should be my...