autoregression

  1. 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!
  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

    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...
  4. 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 ...