time series

  1. J

    Using a dummy variable to model threshold effects

    Hi All, I'm new to this thread and very green/inexperienced in using regressions. I'm trying to model threshold effects in a time series analysis - for instance, does an output hike of 5% or greater lead to a different effect on returns than when the output change is less than 5%. Given that I...
  2. S

    Calculate fits of Markov Switching AR (1) model

    I have created a MS-AR(1) model in EViews 9.5 (the software I'm working with) and I'm just trying to understand how some of the output is calculated. This is really dumb and probably a simple question to answer, but I can't seem to get how the fitted values are calculated. I have tried...
  3. M

    updating ARIMA model

    When should one use the different types of ARIMA model as mentioned below: Estimate the model order in the training data set and use the same order to forecast future values (updating the parameter estimates) Use a rolling window (e.g. 30 day )to make a new forecast by estimating model order...
  4. 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?
  5. A

    Time series

    I have a poverty dataset and I wish to forecast the poverty percentage of a place in the future. I only have 2 years = 2006 and 2012 data. Is time series possible? Is there a statistical way that I could include more data points in between?
  6. S

    Graphics of Time Series (tsset command isn't working due to repeated time values)

    Hey everyone, I have a question regarding the creation of graphics for time series. I have two rows with one being the study subject ( ‘1’ denoting singles and ‘2’ denoting married couples). Additionally I have a row called ‘year’ ranging from 2002 to 2012 with repeated values obviously...
  7. D

    Time series forecast. Probability of forecasted value exceeding a threshold value?

    OK. Let's say that I have several years of monthly sales data. How would I go about finding the probability that monthly sales, three months in the future, will exceed a threshold value? Is this something that's commonly done? I spent some time searching on the internet for this, but haven't...
  8. M

    ARCH-process with exponencial variance function

    I need some help for a proof regarding Engles ARCH-paper from 1982. For an ARCH-process with a variance function h_t = exp(a_0 + a_1 y_{t-1}^2) he states, that the data generatet from this model has infinite variance (or goes to infinity) whenever a_1 is not zero. I need to explain why...
  9. B

    Stationarity of time series and VAR model

    Hello, I have two variables, one is stationary I(0) and one is non-stationary I(1). Is it possible to make VAR model for these two variables if the non-stationary variable will be differenced to obtain stationary process I(0)? Thank you for any responses.
  10. Y

    how to fit the auto arima model

    hi guys, Im new to R and I got a problem unsolved for several days: I got a dataset which covers three years by week and I ran an auto arima on the train data set which is 80% of the original data set. Then I got the following result: ARIMA(1,0,0)(0,1,0)[53] with drift Im wondering how...
  11. M

    predicting a rv based on past time series results

    Hi all, I have 3 previous years data (ie 3 time series) going from 05/05 may 05 - august 25 , the curve for the current year has data plotted from may 05 to may 26th (plotted every Thursday) so how would I use the previous data to predict the curve into the future? Time Series does not...
  12. F

    Policy chance analysis - time series count data

    Hi, I need some help to determine my approach. For a school project I would like to examine the effect of a policy change in the Danish registration law for certain cars, happening in june 2007. I have a dataset with the number of registrations pr. month from jan-97 to dec-15. If I put...
  13. L

    Time series in small data with R

    Hi there I have this data year number of surgeries 2000 570 2005 1340 2006 4730 2007 5359 2009 6060 2010 6340 2014 ???? 2015 ???? I want predict number of surgeries in 2014 and 2015. I want use neural network, SVM and all methods for...
  14. rogojel

    Physical interpretation of an AR(n) series

    Hi, I am learning TS analysis but my angle is probably diffent from the usual. Being in six sigma I need to reduce the variability of a process that I can prove is basically AR(3) which with 3 runs on the average per day means one day's runs influence the next day in the mathematical model...
  15. W

    Inter-subject agreement re timings of (unequal number of) events

    Hi everyone, I am trying to figure out what would be the best statistic to use to quantify the amount of agreement that exists between subjects who were asked to press a button whenever they felt a certain emotion while listening to a short (2min) piece of music. Plotted as time series, the...
  16. W

    Time Series - Difference over time

    Hello, I'm new in the time series, so I need some help. I have a short time series (5 quarters), with the proportion of a parameter (public transport-user people). I know there are some effects of TS (trend, seasonal, cyclic and random). I would like to testing the (significant) difference...
  17. rogojel

    Interpretation of an AR model

    hi, looking at process times of a rather complex machine I found that an AR(2) model describes it quite well. Does it make sense to interpret this as an indication that the machine has a "memory" of about 2 runs ? E.g. insufficient cleaning between runs? thanks a lot!
  18. S

    What method for this problem? [Correlation / Correspondence]

    Hi, I have a data set like the following with some categorical/nominal values (like Gender and Age Group) and a ratio scaled value (DropOut, which is the week after registration in which a person dropped out of a program [so it's never zero or less, and it's not the calender week]): I want...
  19. 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...
  20. T

    Multiple measurement time series

    Hi dear helper, I have a collection of monitoring data which I want to analyze as to significant differences over time. I have monitored 2 groups of people over 16 months as to how often they feed their livestock per day. Both groups are of different size and each individual has a different...