autoregressive

  1. 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...
  2. 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...
  3. D

    order determination sample size for autoregression

    Hi I am new to autoregression. I want to determine the order of an autoregression given a sample of size S1. I plan to use ordinary least squares on the sample S1 to determine the coefficients. My query is whether I can use a smaller sample size S2 to determine the order, and use the...
  4. A

    VAR model definition

    Edit: Question Answered. Instead, could you please tell me how can I delete a topic once I post it, if that's possible. Cheers Greetings, I have a question regarding the definition of the VAR model. What follows is the basic theory behind it. Could you please explain to me what the...
  5. P

    No collinearity between dependent and exogenous variables - Implicatrions

    I'm trying to test for autocorrelation in the residuals of an AR(p) model. The stata output is: "the exogenous variables may not be collinear with the dependent variables, or their lags" and no results. Can I conclude from this that the residuals are not autocorrelated? Thank for answering...
  6. P

    [STATA - Lag length criteria]: How can I explain the results?

    Good evening everyone. I got different output from the code: forval i = 1/118 { varsoc Illiq`i', maxlag(10) } that describes AIC,BIC,... lag information criterion, but I don't know how I can interpret them. How can I choose the correct number of lags on the basis of all these output...