autoregression

  1. S

    Regression for Exponential Distribution

    Hi, I have a set of values which are a time series and follow a decreasing exponential distribution. I would like to understand what the best method might be to predict the next value in the series. Do the options include 1. Transforming the variable to try and get normality. 2. Creating an...
  2. F

    Solving an autoregressive equation

    Hi, has anyone an idea how to solve this equation: y_t - y_t-1 = c + delta*t + phi*y_t-1 + eps_t I would be super grateful if anyone could help. Cheers!
  3. 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...
  4. M

    Which R-Package / function is appropriate? fixed variance, random coefficients and AR

    Hi, I have time-dependent data which show an inreasing variance with a certain covariate X (which can be modelled using a fixed cariance structure, I guess, i.e. considering sigma*X). Furthermore independence is violated in two respects: 1.) I have multiple measurements in time for different...
  5. T

    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 ...