1. A

    Augmented Dickey-Fuller test null rejected. AR(1) in ARCH(1) p-value of 0.000

    Hello, I am investigating if the comovement of the green bond market and other markets has changed pre covid-19 and during Covid-19. The plan is to use ARCH/GARCH on the logged returns of the respective marekts to attain their volatility over time. Then I will use dynamic condidional...
  2. N

    Whats the best statistical analytical method to use

    Hi, I have a data set which has a treatment variable and some outcome variables which are the result of the treatments on certain markers measured daily. I would like to see if different levels of the treatment resulted in the differences in the outcome variable (there are 4 of these, each...
  3. M

    When to use Augmented Dickey Fuller test vs Dickey Fuller Test - Time series

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

    log likelihood function ARMA

    To derive the log-likelihood function of an MA(1) we condition on \epsilon_0 . But when deriving the log-likelihood function function for an AR(1) we don't. Why not? Is it just because \epsilon_0 isn't found in the AR(1) equation?
  5. A

    Is AR(1)-ARCH(1) covariance stationary?

    I'm becoming confused by this. Say I have the following model: I know that an AR(1) is covariance stationary if |\phi|<1. I also know that an ARCH(1) is covariance stationary if \alpha_0, \alpha_1>0 and \alpha_1<1 . If those conditions hold does that imply that an AR(1)-ARCH(1) is...
  6. M

    Autoregresive (AR) models and stationarity - Contradiction?

    Hello, I have a problem regarding the general understanding of autoregressive (AR) models (and related models, such as MA and AR(I)MA models) which are used to analyze time series. An important assumption in these models is that we have stationarity, which implies that the mean and the...
  7. A

    Arma model fitting

    Below is my data. Only lag 2 is significant in both pacf and acf plot.EACF says it is ARMA(0,2) and I think it can be. However,if it is, aren't there supposed to be tailing off in PACF and significant both 1 and 2 lag. I put some plots and model fitting result below. I am waiting for your...
  8. B

    Interpreation of flat correlogram - ARMA model

    I have been asked to build an ARMA model for some oil WTI spot prices. I have manipulate the data to make it stationary (taking log-returns), and stationarity has been confirmed by the Augmented Dickey Fuller test and all the other stationarity tests available in EViews. However, when I...
  9. S

    [Time series models] covariance in MA(1) process

    Hello, the following question is about a stationary MA(1) process (Moving Average of Order 1) - see attached image. Epsilon represents white noise, i.i.d. E(epsilon) = 0. Can someone please help me understand the last part of the bottom equation? I do understand the term inside the...
  10. V

    Baisc R question regarding ARMA

    This should be an easy question for expert users here. I am using the function 'arma' in R which appears as following in the documentation: arma(x, order = c(1, 1), lag = NULL, coef = NULL, include.intercept = TRUE, series = NULL, qr.tol = 1e-07, ...) For input 'x' do we...
  11. J

    Interest Rates and ARIMA models

    Hello, My goal is to forecast t-bill/note interest rates to help determine whether it'd be useful to purchase an interest rate swap on a loan (25 year amort. due in 7 years). I have learned ARIMA models, specifically AR[1] models are useful to forecasting rates. Please see attached...