time-series

I am helping out with some plots for a paper: simple X versus Y plots, and would like to provide some stats to improve the paper. My statistics knowledge is rusty and I am an R-noob with only a few weeks of Tidyverse under my belt, so I would appreciate some input. Am I on the right track? The...

Hi everyone. The table above contains two example factories that I would like to test for cointegration using the augmented dickey-fuller test. I intentionally use this short time series because I want to do the calculations by hand. Below you will see my attempt to carry out this procedure and...

We set up an OLS model about 6 months ago, using time series data (both the dependent and independent variables are Monthly data). The model has 2 independent continuous time series and 2 other (categorical and numeric) variables. Initially, we did not think it necessary to specifically conduct...

I'm estimating a linear model, with one of the independent variables being a date of appearance. I consider the date to be a minimum date of appearance, not an obeserved one. Thus it is censored. What would be the proper estimation to approach this?

I need to plot an Ar(1) graph for the process yk = 0.75yk-1 + ek. for y0=1 and another graph for y0=10. assume ek is uniformly distributed on interval [-0.5,0.5]. i have the following code but i am not sure how to control y0. #----------#Start#---------# rm(list=ls())...

I just recently started to learn about moving average process of order 1, however, I get confused if there are other things attached to the equation. 1. For example: Z_t = 8 + 2t + 5X_t where X_t is a zero-mean stationary series with autocovariance function r_k a) Find the mean function and...

Suppose W_t and Y_t are two independent normal white noise series with Var(W_t)=2Var(Y_t)=4. Let X_t = W_t-0.5W_{t-1} and Z_t=Y_t+0.4Y_{t-1}-0.4Y_{t-2}. Put V_t=X_t-Z_t. Find the Cov(V_t,V_{t-1}), k=0,1,2,3,.. So I tried doing this...

I was using the cross correlation function in R (ccf) until now to discover correlations and lags between two time series. I was wondering if I can use all other correlation metrics for time series as well or are there any restrictions with time series? For example I want to use Spearman's...

Hello, For my thesis I was given the assignment to research the effect of macroeconomic news on stocks. I chose to investigate the effect of US announcements coming from the BLS on the Brazilian stock market. In my case I wanted to check if the announcements would have a significant effect on...

Hi guys, I would like to find out which of my 10 independent variables (IVs) best accounts for the changes of my dependent variable (DV) at different points of time within the last 50 years. My problem: In order to explain the long-term trend of my DV over the last 50 years, I used multiple...

Hi, I'm trying to analyze repeated measurements of body temperature data collected from 7 randomly chosen subjects (e.g. turtles). I am using R, along with the nparLD package. I am using Nonparametric Tests for my LD-F2 Design (http://www.inside-r.org/packages/cran/nparLD/docs/ld.f2) because...

Hello, I want to forecast the 101th data of a time series and my data is as follow 99) 0.96 100) -0.2495 101) ? and my model Coefficients: ar1 ma1 intercept 0.6769 -0.4255 0.0019 s.e. 0.1210 0.1505 0.0876 By using R I know answer is 0.084036 but I...

Hey guys, I'm currently investigating the relationship between daily stock returns and daily trading volume. More specifically, I am examining the period 01/01/90 - 31/12/2011 for FTSE100. As it is well known, stock market is closed on Saturday and Sunday. Therefore, I should count for the...

Hi there Im struggling to figure out which statistical test i need to use on my data and then also how to carry this out in R or SPSS.... I have a time-series of measurements of pollutant levels on leaves from 4 different plant species that were re-sampled twelve times over a period of 5...

I am using SPSS's Expert Modeler Option to Model a ARIMA model. I see that there is an option to have SPSS automatically detect various type of outliers. I get what the following outliers look like: Additive Level Shift Transient Seasonal Additive I think a Local trend outlier...